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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Burkovska, O.; Glau, K.; Mahlstedt, M.; Wohlmuth, B. 
Titel:
Model reduction for calibration of American options 
Abstract:
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher flexibility in comparison to European options, the mathematical model involves additional constraints, and a variational inequality is obtained. We use the Heston stochastic volatility model to describe the price of a single stock option. In order to speed up the calibration process, we apply two model...    »
 
Zeitschriftentitel:
Working Paper 
Jahr:
2016 
Sprache:
en 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik