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- W4239723160 abstract "We present methods to value American options in the Heston model. We first present the simulation algorithm of Longstaff and Schwartz (2001). Next, we present a finite difference method, the explicit method, for American options. We present the bivariate tree of Beliaeva and Nawalkha (2010), an adaptation of the trinomial tree in which the stock price and the volatility to evolve is along separate trees. We also cover the method of Medvedev and Scaillet (2010), which approximates the American option price using an analytic expansion and is, thus, able to produce option prices very quickly. Finally, we present the method of Chiarella and Ziogas (2006) for the valuation of American calls." @default.
- W4239723160 created "2022-05-12" @default.
- W4239723160 date "2015-04-27" @default.
- W4239723160 modified "2023-09-23" @default.
- W4239723160 title "American Options" @default.
- W4239723160 doi "https://doi.org/10.1002/9781119020523.ch8" @default.
- W4239723160 hasPublicationYear "2015" @default.
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