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Investigating Time-Efficient Methods to Price Compound Options in the Heston Model

https://doi.org/10.2139/ssrn.2224387
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inferredcites →https://doi.org/10.1007/978-3-642-03479-4_15openalex-extracted
Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms
inferredcites →https://doi.org/10.1007/978-3-662-12429-1_10openalex-extracted
Spread Option Valuation and the Fast Fourier Transform
inferredcites →https://doi.org/10.1007/s11147-012-9083-zopenalex-extracted
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
inferredcites →https://doi.org/10.1016/0304-405x(79)90022-9openalex-extracted
The valuation of compound options
inferredcites →https://doi.org/10.1017/s0266466600004746openalex-extracted
From Characteristic Function to Distribution Function: A Simple Framework for the Theory
inferredcites →https://doi.org/10.1080/13504860802584004openalex-extracted
Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
inferredcites →https://doi.org/10.1080/14697680802392496openalex-extracted
A comparison of biased simulation schemes for stochastic volatility models
inferredcites →https://doi.org/10.1086/260062openalex-extracted
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-extracted
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1111/j.1540-6261.1984.tb04921.xopenalex-extracted
The American Put Option Valued Analytically
inferredcites →https://doi.org/10.1137/060649616openalex-extracted
Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
inferredcites →https://doi.org/10.1137/080718061openalex-extracted
A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
inferredcites →https://doi.org/10.1137/100794158openalex-extracted
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
inferredcites →https://doi.org/10.1142/4694openalex-extracted
Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach
inferredcites →https://doi.org/10.1142/s0219024907004202openalex-extracted
COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
inferredcites →https://doi.org/10.11588/heidok.00004954openalex-extracted
Numerische Methoden für hochdimensionale parabolische Gleichungen am Beispiel von Optionspreisaufgaben
inferredcites →https://doi.org/10.21314/jcf.1999.043openalex-extracted
Option valuation using the fast Fourier transform
inferredcites →https://doi.org/10.21314/jcf.2005.137openalex-extracted
Option pricing using the fractional FFT
inferredcites →https://doi.org/10.2139/ssrn.903116openalex-extracted
A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
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