Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models
oleh: Xuemei Gao, Dongya Deng, Yue Shan
| Format: | Article |
|---|---|
| Diterbitkan: | Wiley 2014-01-01 |
Deskripsi
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.