Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models
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...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2014/165259 |
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| _version_ | 1832550631118733312 |
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| author | Xuemei Gao Dongya Deng Yue Shan |
| author_facet | Xuemei Gao Dongya Deng Yue Shan |
| author_sort | Xuemei Gao |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-7957f85ff77547a2bde53fa6770a81bc |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-7957f85ff77547a2bde53fa6770a81bc2025-02-03T06:06:20ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2014-01-01201410.1155/2014/165259165259Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility ModelsXuemei Gao0Dongya Deng1Yue Shan2School of Economic Mathematics and School of Finance, Southwestern University of Finance and Economics, Chengdu 611130, ChinaSchool of Finance, Southwestern University of Finance and Economics, Chengdu 611130, ChinaSchool of Finance, Southwestern University of Finance and Economics, Chengdu 611130, ChinaThe 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.http://dx.doi.org/10.1155/2014/165259 |
| spellingShingle | Xuemei Gao Dongya Deng Yue Shan Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models Discrete Dynamics in Nature and Society |
| title | Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models |
| title_full | Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models |
| title_fullStr | Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models |
| title_full_unstemmed | Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models |
| title_short | Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models |
| title_sort | lattice methods for pricing american strangles with two dimensional stochastic volatility models |
| url | http://dx.doi.org/10.1155/2014/165259 |
| work_keys_str_mv | AT xuemeigao latticemethodsforpricingamericanstrangleswithtwodimensionalstochasticvolatilitymodels AT dongyadeng latticemethodsforpricingamericanstrangleswithtwodimensionalstochasticvolatilitymodels AT yueshan latticemethodsforpricingamericanstrangleswithtwodimensionalstochasticvolatilitymodels |