A tree-based method to price American options in the Heston model
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Publication:3639923
DOI10.21314/JCF.2009.197zbMath1178.91204MaRDI QIDQ3639923
Hans Nieuwenhuis, Michel H. Vellekoop
Publication date: 26 October 2009
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
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ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL ⋮ Pricing exotic options and American options: a multidimensional asymptotic expansion approach ⋮ Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices ⋮ A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY ⋮ A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL ⋮ Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model ⋮ Calibration of the double Heston model and an analytical formula in pricing American put option ⋮ ADI Schemes for Pricing American Options under the Heston Model ⋮ NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS ⋮ Stochastic approximation methods for American type options ⋮ American option pricing under the double Heston model based on asymptotic expansion ⋮ American option valuation in a stochastic volatility model with transaction costs ⋮ EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK ⋮ Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate ⋮ A finite volume–alternating direction implicit method for the valuation of American options under the Heston model
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