American option pricing under two stochastic volatility processes

DOI10.1016/j.amc.2013.08.047zbMath1335.91079OpenAlexW1972692423MaRDI QIDQ278970

Jonathan Ziveyi, Carl Chiarella

Publication date: 27 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.08.047

zbMATH Keywords

Fourier transformLaplace transformAmerican optionsmethod of characteristics

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition ⋮ Numerical studies on asymptotics of European option under multiscale stochastic volatility ⋮ Pricing European Options Under Stochastic Volatilities Models ⋮ Pricing American options under Azzalini Ito-McKean skew Brownian motions ⋮ An asymptotic expansion method for geometric Asian options pricing under the double Heston model ⋮ Pricing European options on deferred annuities ⋮ Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities ⋮ American option pricing under the double Heston model based on asymptotic expansion

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