Pricing multi-asset American option under Heston-CIR diffusion model with jumps

DOI10.1080/03610918.2019.1620275zbMath1497.91312OpenAlexW2947656057WikidataQ127859158 ScholiaQ127859158MaRDI QIDQ5082773

Oldouz Samimi, Farshid Mehrdoust, Somayeh Fallah

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1620275

zbMATH Keywords

jump-diffusion modelAmerican put optiondouble exponential jumpsHeston-CIR model

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

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• American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
• Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
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• 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
• Pricing Interest-Rate-Derivative Securities
• Option pricing when underlying stock returns are discontinuous
• Continuous Time Wishart Process for Stochastic Risk

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