Lattice methods for pricing American strangles with two-dimensional stochastic volatility models

DOI10.1155/2014/165259zbMath1422.91763OpenAlexW1964737192WikidataQ59038545 ScholiaQ59038545MaRDI QIDQ2320671

Dongya Deng, Xuemei Gao, Yue Shan

Publication date: 23 August 2019

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

Full work available at URL: https://doi.org/10.1155/2014/165259

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model
• Approximating stochastic volatility by recombinant trees
• Evaluation of American strangles
• Adaptive lattice methods for multi-asset models
• THE GARCH OPTION PRICING MODEL
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An Improved Binomial Lattice Method for Multi‐Dimensional Options

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