Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme



Table 1: OEX Option Data: Summary

June 30

July 1

July 2

July 6

July 7

July 8

July 9

included puts, #

57

56

48

56

51

55

56

included calls, #

38

41

39

32

34

35

36

put (July expiring)

110-

450-

440-

450-

480-

480-

460-

strike range

570

580

570

600

600

600

565

call (July expiring)

500-

500-

510-

520-

520-

525-

525-

strike range

590

595

590

580

580

580

590

Table 2: XEO Option Data: Summary

June 30

July 1

July 2

July 6

July 7

July 8

July 9

included options, #

21

12

27

31

23

20

23

inferred by parity, #

10

2

9

12

10

8

9

option (July expiring)

510-

520-

520-

510-

525-

520-

520-

strike range

580

575

570

585

565

555

565

22



More intriguing information

1. Improvement of Access to Data Sets from the Official Statistics
2. The name is absent
3. Measuring and Testing Advertising-Induced Rotation in the Demand Curve
4. EXPANDING HIGHER EDUCATION IN THE U.K: FROM ‘SYSTEM SLOWDOWN’ TO ‘SYSTEM ACCELERATION’
5. The name is absent
6. Why unwinding preferences is not the same as liberalisation: the case of sugar
7. Smith and Rawls Share a Room
8. Eigentumsrechtliche Dezentralisierung und institutioneller Wettbewerb
9. The name is absent
10. Influence of Mucilage Viscosity On The Globule Structure And Stability Of Certain Starch Emulsions
11. Bargaining Power and Equilibrium Consumption
12. Does Competition Increase Economic Efficiency in Swedish County Councils?
13. The name is absent
14. Tobacco and Alcohol: Complements or Substitutes? - A Statistical Guinea Pig Approach
15. Artificial neural networks as models of stimulus control*
16. Transgression et Contestation Dans Ie conte diderotien. Pierre Hartmann Strasbourg
17. APPLICATIONS OF DUALITY THEORY TO AGRICULTURE
18. THE DIGITAL DIVIDE: COMPUTER USE, BASIC SKILLS AND EMPLOYMENT
19. Outline of a new approach to the nature of mind
20. Database Search Strategies for Proteomic Data Sets Generated by Electron Capture Dissociation Mass Spectrometry