Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing

Documenti analoghi

• Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
  di: Bossu, Sebastien, et al.
  Pubblicazione: (2025)
• Pricing Quanto and Composite Contracts with Local-Correlation Models
  di: Pallavicini, Andrea
  Pubblicazione: (2025)
• Deep g-Pricing for CSI 300 Index Options with Volatility Trajectories and Market Sentiment
  di: Zhang, Yilun, et al.
  Pubblicazione: (2026)
• Machine-learning regression methods for American-style path-dependent contracts
  di: Gambara, Matteo, et al.
  Pubblicazione: (2023)
• Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
  di: Baños, David R., et al.
  Pubblicazione: (2023)