LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model
In: Computational Economics, Jg. 50 (2016-06-16), S. 173-187
Online
unknown
Zugriff:
In this paper, we present American option pricing under Heston---Hull---White's stochastic volatility and stochastic interest rate model. To do this, we first discretize the stochastic processes with Euler discretization scheme. Then, we price American option by using least-squares Monte Carlo algorithm. We also compare the numerical results of our model with the Heston-CIR model. Finally, numerical results show the efficiency of the proposed algorithm for pricing American option under the Heston---Hull---White model.
Titel: |
LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model
|
---|---|
Autor/in / Beteiligte Person: | Mardani, Z. ; Samimi, Oldouz ; Mehrdoust, Farshid ; Sharafpour, S. |
Link: | |
Zeitschrift: | Computational Economics, Jg. 50 (2016-06-16), S. 173-187 |
Veröffentlichung: | Springer Science and Business Media LLC, 2016 |
Medientyp: | unknown |
ISSN: | 1572-9974 (print) ; 0927-7099 (print) |
DOI: | 10.1007/s10614-016-9598-8 |
Schlagwort: |
|
Sonstiges: |
|