A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate

DOI10.1155/2020/8531959MaRDI QIDQ2183282zbMATH OpenOpenAlexFDO

Authors Huang Shoude, Xunxiang Guo

Publication date 26 May 2020

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/8531959

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
• American options in Lévy models with stochastic interest rates
• Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
• A fast Fourier transform technique for pricing American options under stochastic volatility

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A fast Fourier transform technique for pricing American options under stochastic volatility
• A fast mean-reverting correction to Heston's stochastic volatility model
• A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
• A multifactor volatility Heston model
• A novel pricing method for European options based on Fourier-cosine series expansions
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
• Financial Modelling with Jump Processes
• Interest rate models -- theory and practice. With smile, inflation and credit
• On the Heston model with stochastic interest rates
• Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Two singular diffusion problems
• Valuing American options by simulation: a simple least-squares approach

Cited in

(3)

• A dimension reduction Shannon-wavelet based method for option pricing
• Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate

This page was built for publication: A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2183282)