Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models

الملخص EN

The aim of this paper is to extend the lattice method proposed by Ritchken and Trevor (1999) for pricing American options with one-dimensional stochastic volatility models to the two-dimensional cases with strangle payoff.

This proposed method is compared with the least square Monte-Carlo method via numerical examples.