A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate

DOI10.1155/2020/8531959zbMath1459.91205OpenAlexW3015914017MaRDI QIDQ2183282

Publication date: 26 May 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/8531959

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
The Pricing of Options and Corporate Liabilities
Interest rate models -- theory and practice. With smile, inflation and credit
A fast Fourier transform technique for pricing American options under stochastic volatility
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
Two singular diffusion problems
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
On the Heston Model with Stochastic Interest Rates
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
A multifactor volatility Heston model
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Financial Modelling with Jump Processes
Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
Valuing American Options by Simulation: A Simple Least-Squares Approach
Stock Price Distributions with Stochastic Volatility: An Analytic Approach

This page was built for publication: A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate