lattice methods for pricing american strangles with two-dimensional stochastic volatility models
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ID: 232114
2014
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Abstract
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.
| Reference Key |
gao2014discretelattice
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|---|---|
| Authors | ;Xuemei Gao;Dongya Deng;Yue Shan |
| Journal | Journal of the American Heart Association |
| Year | 2014 |
| DOI |
10.1155/2014/165259
|
| URL | |
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