English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

The aim of this study was to develop methods for evaluating theAmerican-style option prices when the volatility of the underlying asset isdescribed by a stochastic process. As part of this problem were developedtechniques for modeling the early exercise surface of the American option.These methods of present work are compared to the complexity of modeling andcomputation speed. The paper presents the semi-analytic expression for theprice of American options with stochastic volatility. The results of numericalcomputations and their calibration are also presented. The obtained resultswere compared with results excluding the effect of volatility smile.

American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations