Pricing American options written on two underlying assets

DOI10.1080/14697688.2013.810811zbMath1294.91169OpenAlexW1991025296MaRDI QIDQ2879038

Carl Chiarella, Jonathan Ziveyi

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.810811

zbMATH Keywords

Fourier transformAmerican optionsmultiple underlying assets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options ⋮ An efficient method for solving spread option pricing problem: numerical analysis and computing ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics

Cites Work

• The Pricing of Options and Corporate Liabilities
• Fourier space time-stepping for option pricing with Lévy models
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
• Insights on the Effect of Land Use Choice: The Perpetual Option on the Best of Two Underlying Assets
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• The Valuation of American Options on Multiple Assets
• Pricing and Hedging Spread Options
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Option pricing: A simplified approach

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