摘要：This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style SP 100 index options market, using the least square regression method. Moreover, we discuss path-dependent options, such as Asian and Barrier options.
关键词：stochastic volatility; Lévy process; American option; barrier option; Monte-Carlo simulation
