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

DOI10.1155/2020/8531959zbMATH Open1459.91205OpenAlexW3015914017MaRDI QIDQ2183282FDOQ2183282

Xunxiang Guo, Huang Shoude

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

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)

Cites Work

• The pricing of options and corporate liabilities
• Two singular diffusion problems
• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• A multifactor volatility Heston model
• On the Heston Model with Stochastic Interest Rates
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Interest rate models -- theory and practice. With smile, inflation and credit
• 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
• A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
• Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
• 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

Cited In (1)

• A dimension reduction Shannon-wavelet based method for option pricing

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)