American option pricing under stochastic volatility: an efficient numerical approach

Farid AitSahlia (), Manisha Goswami and Suchandan Guha

Computational Management Science, 2010, vol. 7, issue 2, 187 pages

Keywords: American option pricing; Optimal stopping; Approximate dynamic programming; Stochastic volatility; Doob–Meyer decomposition; Monte–Carlo (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10287-008-0082-3

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