Analytical Solution for American Options under Stochastic Volatility with Mean-reverting Underlying Assets
碩士 === 東吳大學 === 財務工程與精算數學系 === 98 === This paper considers the mean reversion features of assets, and extends the work of Heston (1993) and integrates the Richardson extrapolation technique of Huang et al. (1996，HSY) for developing analytical solution for mean-reverting stochastic volatility America...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/01971920225787338380 |