A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate
DOI10.1155/2020/8531959zbMATH Open1459.91205OpenAlexW3015914017MaRDI QIDQ2183282FDOQ2183282
Authors: Huang Shoude, Xunxiang Guo 
Publication date: 26 May 2020
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/8531959
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
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- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- A fast Fourier transform technique for pricing American options under stochastic volatility
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- A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
- Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
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