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

zbMATH Open1289.91170MaRDI QIDQ2860089FDOQ2860089

Authors: Qiang Liu, Yun Xiang 

Publication date: 19 November 2013

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

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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)

Cited In (1)

• New methods with capped options for pricing American options

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