lattice methods for pricing american strangles with two-dimensional stochastic volatility models

Clicks: 195
ID: 232114
2014
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This article has not been analysed, so there is no overall score — reader engagement is measured and shown alongside.
AI Quality Assessment
Not analyzed
Readership in this journal
Steady

Ranked #51 of 266 articles by views in Journal of the American Heart Association

Most read Least read

Bar heights use a square-root scale. Only the 120 most-read articles are drawn; the journal has 266 in total.

Mint this article as an NFT
Not yet minted

Create a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.

5 SUSD one-off · no wallet required
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 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors
Journal Journal of the American Heart Association
Year 2014
DOI
10.1155/2014/165259
URL
Keywords

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

No comments yet. Be the first to comment on this article.