American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

DOI10.1080/14697688.2015.1068443zbMath1468.91158OpenAlexW2128220708MaRDI QIDQ5001107

Sandeep Juneja, Ronnie Sircar, Ankush Agarwal

Publication date: 16 July 2021

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

Full work available at URL: http://eprints.gla.ac.uk/147370/7/147370.pdf

zbMATH Keywords

Monte Carlostochastic volatilityAmerican optioncontrol variatesingular perturbation theoryregular perturbation theorymaturity randomization

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)

Related Items (8)

Valuing of timer path-dependent options ⋮ Mixing LSMC and PDE Methods to Price Bermudan Options ⋮ Unnamed Item ⋮ Discrete-type approximations for non-Markovian optimal stopping problems: Part I ⋮ Pricing and exercising American options: an asymptotic expansion approach ⋮ Optimal Retirement Under Partial Information ⋮ Variable annuity with a surrender option under multiscale stochastic volatility ⋮ Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate

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