We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
The existing telecommunications infrastructure in most of the world is adequate to deliver voice and text applications, but demand for broadband services such as streaming video an...
Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetza...