American option valuation in a stochastic volatility model...

Stochastics An International Journal of Probability and Stochastic Processes 2015 / 05 Vol. 87; Iss. 3

American option valuation in a stochastic volatility model with transaction costs

Cosso, Andrea, Marazzina, Daniele, Sgarra, Carlo
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Volume:
87
Language:
english
Journal:
Stochastics An International Journal of Probability and Stochastic Processes
DOI:
10.1080/17442508.2014.989525
Date:
May, 2015
File:
PDF, 340 KB
english, 2015
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