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American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics.

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Title: American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics.
Authors: Agarwal, Ankush1 (AUTHOR), Juneja, Sandeep1 (AUTHOR), Sircar, Ronnie2 (AUTHOR) sircar@princeton.edu
Source: Quantitative Finance. Jan2016, Vol. 16 Issue 1, p17-30. 14p.
Database: Mathematics Source
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An: 111968764
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PubType: Academic Journal
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  Data: American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics.
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  Data: <searchLink fieldCode="AR" term="%22Agarwal%2C+Ankush%22">Agarwal, Ankush</searchLink><relatesTo>1</relatesTo> (AUTHOR)<br /><searchLink fieldCode="AR" term="%22Juneja%2C+Sandeep%22">Juneja, Sandeep</searchLink><relatesTo>1</relatesTo> (AUTHOR)<br /><searchLink fieldCode="AR" term="%22Sircar%2C+Ronnie%22">Sircar, Ronnie</searchLink><relatesTo>2</relatesTo> (AUTHOR)<i> sircar@princeton.edu</i>
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  Data: <searchLink fieldCode="JN" term="%22Quantitative+Finance%22">Quantitative Finance</searchLink>. Jan2016, Vol. 16 Issue 1, p17-30. 14p.
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      – Type: doi
        Value: 10.1080/14697688.2015.1068443
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      – Code: eng
        Text: English
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        PageCount: 14
        StartPage: 17
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      – TitleFull: American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics.
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            NameFull: Agarwal, Ankush
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            NameFull: Juneja, Sandeep
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              Text: Jan2016
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