{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,10,22]],"date-time":"2024-10-22T20:44:30Z","timestamp":1729629870878,"version":"3.28.0"},"reference-count":24,"publisher":"IEEE","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2007]]},"DOI":"10.1109\/wsc.2007.4419696","type":"proceedings-article","created":{"date-parts":[[2008,7,18]],"date-time":"2008-07-18T17:19:35Z","timestamp":1216401575000},"page":"992-997","source":"Crossref","is-referenced-by-count":0,"title":["American option pricing under stochastic volatility: A simulation-based approach"],"prefix":"10.1109","author":[{"family":"Arunachalam Chockalingam","sequence":"first","affiliation":[]},{"family":"Kumar Muthuraman","sequence":"additional","affiliation":[]}],"member":"263","reference":[{"key":"ref10","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"ref11","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"ref12","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.277"},{"key":"ref13","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02568.x"},{"key":"ref14","article-title":"Operator Splitting Methods for Pricing American Options with Stochastic Volatility","author":"ikonen","year":"2004","journal-title":"Technical Report"},{"key":"ref15","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1991.tb00007.x"},{"key":"ref16","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.3.627"},{"key":"ref17","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.547"},{"key":"ref18","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.113"},{"key":"ref19","first-page":"165","article-title":"On Multigrid for Linear Complementarity Problems with Application to American-style Options","volume":"15","author":"oosterlee","year":"2003","journal-title":"Electronic Transactions on Numerical Analysis"},{"key":"ref4","doi-asserted-by":"crossref","first-page":"35","DOI":"10.21314\/JCF.2004.117","article-title":"A Stochastic Mesh Method for Pricing High-Dimensional American Options","volume":"7","author":"broadie","year":"2004","journal-title":"J Computational Finance"},{"key":"ref3","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(97)00029-8"},{"key":"ref6","doi-asserted-by":"crossref","first-page":"259","DOI":"10.1080\/07408170108936827","article-title":"Stochastic Root Finding via Retrospective Approximation","author":"chen","year":"2001","journal-title":"IIE Transactions 33"},{"key":"ref5","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1992.tb00040.x"},{"key":"ref8","doi-asserted-by":"publisher","DOI":"10.1080\/135048699334528"},{"key":"ref7","article-title":"American Options under Stochastic Volatility","author":"chockalingam","year":"2007","journal-title":"Working Paper"},{"key":"ref2","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"ref1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1040.0258"},{"key":"ref9","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"ref20","doi-asserted-by":"publisher","DOI":"10.2307\/2329207"},{"key":"ref22","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.4.727"},{"key":"ref21","doi-asserted-by":"publisher","DOI":"10.2307\/2330793"},{"key":"ref24","doi-asserted-by":"publisher","DOI":"10.1016\/S0377-0427(98)00037-5"},{"key":"ref23","first-page":"83","article-title":"Valuing American Options in a Path Simulation Model","volume":"45","author":"tilley","year":"1993","journal-title":"Transactions of the Society of Actuaries"}],"event":{"name":"2007 Winter Simulation Conference","start":{"date-parts":[[2007,12,9]]},"location":"Washington, DC, USA","end":{"date-parts":[[2007,12,12]]}},"container-title":["2007 Winter Simulation Conference"],"original-title":[],"link":[{"URL":"http:\/\/xplorestaging.ieee.org\/ielx5\/4419575\/4419576\/04419696.pdf?arnumber=4419696","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,12]],"date-time":"2019-05-12T19:39:26Z","timestamp":1557689966000},"score":1,"resource":{"primary":{"URL":"http:\/\/ieeexplore.ieee.org\/document\/4419696\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2007]]},"references-count":24,"URL":"https:\/\/doi.org\/10.1109\/wsc.2007.4419696","relation":{},"subject":[],"published":{"date-parts":[[2007]]}}}