Representation of American option prices under Heston stochastic volatility dynamics using integral transforms

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dc.contributor.author Chiarella, Carl en_US
dc.contributor.author Ziogas, Andrew en_US
dc.contributor.author Ziveyi, Jonathan en_US
dc.contributor.editor Chiarella, C; Novikov, A en_US
dc.date.accessioned 2012-02-02T02:02:14Z
dc.date.available 2012-02-02T02:02:14Z
dc.date.issued 2010 en_US
dc.identifier 2009008252 en_US
dc.identifier.citation Chiarella Carl, Ziogas Andrew, and Ziveyi Jonathan 2010, 'Representation of American option prices under Heston stochastic volatility dynamics using integral transforms', in http://dx.doi.org/10.1007/978-3-642-03479-4_15 (ed.), Springer, Germany, pp. 281-315. en_US
dc.identifier.issn 978-3-642-03478-7 en_US
dc.identifier.other B1 en_US
dc.identifier.uri http://hdl.handle.net/10453/14246
dc.description.abstract We consider the evaluation of American options on dividend paying stocks in the case where the underlying asset price evolves according to Heston?s stochastic volatility model in (Heston, Rev. Financ. Stud. 6:327?343, 1993). We solve the Kolmogorov partial differential equation associated with the driving stochastic processes using a combination of Fourier and Laplace transforms and so obtain the joint transition probability density function for the underlying processes. We then use this expression in applying Duhamel?s principle to obtain the expression for an American call option price, which depends upon an unknown early exercise surface. By evaluating the pricing equation along the free surface boundary, we obtain the corresponding integral equation for the early exercise surface. en_US
dc.language en_US
dc.publisher Springer en_US
dc.relation.isbasedon http://dx.doi.org/10.1007/978-3-642-03479-4_15 en_US
dc.title Representation of American option prices under Heston stochastic volatility dynamics using integral transforms en_US
dc.parent Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen en_US
dc.journal.volume en_US
dc.journal.number en_US
dc.publocation Germany en_US
dc.identifier.startpage 281 en_US
dc.identifier.endpage 315 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010205 en_US
dc.personcode 716350 en_US
dc.personcode 0000049309 en_US
dc.personcode 101769 en_US
dc.percentage 100 en_US
dc.classification.name Financial Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition 1st en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
dc.staffid 101769 en_US


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