Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models
Joint Authors
Shan, Yue
Gao, Xuemei
Deng, Dongya
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-28
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract 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.
American Psychological Association (APA)
Gao, Xuemei& Deng, Dongya& Shan, Yue. 2014. Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models. Discrete Dynamics in Nature and Society،Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-451104
Modern Language Association (MLA)
Gao, Xuemei…[et al.]. Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models. Discrete Dynamics in Nature and Society No. 2014 (2014), pp.1-6.
https://search.emarefa.net/detail/BIM-451104
American Medical Association (AMA)
Gao, Xuemei& Deng, Dongya& Shan, Yue. Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models. Discrete Dynamics in Nature and Society. 2014. Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-451104
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-451104
