Pricing American options written on two underlying assets

DOI10.1080/14697688.2013.810811zbMath1294.91169MaRDI QIDQ2879038

Carl Chiarella, Jonathan Ziveyi

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.810811

zbMATH Keywords

Fourier transform; American options; multiple underlying assets

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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Representation of exchange option prices under stochastic volatility jump-diffusion dynamics, Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options, An efficient method for solving spread option pricing problem: numerical analysis and computing

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