A fast Fourier transform technique for pricing American options under stochastic volatility
Oleksandr Zhylyevskyy ()
Review of Derivatives Research, 2010, vol. 13, issue 1, pages 1-24
Keywords: American option; Stochastic volatility; Heston model; Geske-Johnson scheme; Fast Fourier transform; Characteristic function inversion (search for similar items in EconPapers)
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