American option pricing under stochastic volatility: an efficient numerical approach

DOI10.1007/S10287-008-0082-3zbMATH Open1186.91203OpenAlexW2100308191MaRDI QIDQ970136FDOQ970136

Suchandan Guha, Farid AitSahlia, Manisha Goswami

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

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zbMATH Keywords

Monte CarloDoob-Meyer decompositionoptimal stoppingstochastic volatilityapproximate dynamic programmingAmerican option pricing

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Two singular diffusion problems
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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• Optimal Stopping and the American Put
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• An analysis of a least squares regression method for American option pricing
• American options with stochastic dividends and volatility: a nonparametric investigation
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Evaluation of American strangles
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
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Cited In (21)

• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
• Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
• Title not available (Why is that?)
• American option pricing under two stochastic volatility processes
• Title not available (Why is that?)
• Mixing LSMC and PDE Methods to Price Bermudan Options
• The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
• Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
• Pricing American continuous-installment options under stochastic volatility model
• Multiscale methods for the valuation of American options with stochastic volatility
• CTMC integral equation method for American options under stochastic local volatility models
• American option pricing under stochastic volatility: an empirical evaluation
• Operator splitting methods for pricing American options under stochastic volatility
• An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
• Stochastic optimization algorithms for pricing American put options under regime-switching models
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• Isogeometric analysis in option pricing
• Variational Formulation of American Option Prices in the Heston Model
• A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
• Title not available (Why is that?)

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