FHS-GARCH-LSM: a new method for pricing American options

MaRDI QIDQ2860089zbMATH OpenFDO

Authors Qiang Liu, Yun Xiang

Publication date 19 November 2013

Published in Journal of Fudan University. Natural Science (Search for Journal in Brave)

zbMATH Keywords

American optionsLSMoptions pricingFHS-GARCHFHS-GARCH-LSM

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

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• New methods with capped options for pricing American options

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