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文章基本信息

  • 标题:Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models
  • 本地全文:下载
  • 作者:Xuemei Gao ; Dongya Deng ; Yue Shan
  • 期刊名称:Discrete Dynamics in Nature and Society
  • 印刷版ISSN:1026-0226
  • 电子版ISSN:1607-887X
  • 出版年度:2014
  • 卷号:2014
  • DOI:10.1155/2014/165259
  • 出版社:Hindawi Publishing Corporation
  • 摘要:The aim of this paper is to extend the lattice method proposed by Ritchken and Trevor (1999) for pricing American options with one-dimensional stochastic volatility models to the two-dimensional cases with strangle payoff. This proposed method is compared with the least square Monte-Carlo method via numerical examples.
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