American option pricing under stochastic volatility: an efficient numerical approach

DOI10.1007/s10287-008-0082-3zbMath1186.91203OpenAlexW2100308191MaRDI QIDQ970136

Suchandan Guha, Manisha Goswami, Farid AitSahlia

Publication date: 10 May 2010

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-008-0082-3

zbMATH Keywords

Monte Carlooptimal stoppingstochastic volatilityAmerican option pricingDoob-Meyer decompositionapproximate dynamic programming

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Isogeometric analysis in option pricing ⋮ Mixing LSMC and PDE Methods to Price Bermudan Options ⋮ Pricing American continuous-installment options under stochastic volatility model ⋮ Multiscale methods for the valuation of American options with stochastic volatility

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Evaluation of American strangles
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
• An analysis of a least squares regression method for American option pricing
• American options with stochastic dividends and volatility: a nonparametric investigation
• Two singular diffusion problems
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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