LSM Algorithm for Pricing American Option Under Heston-Hull-White's Stochastic Volatility Model

被引：10

作者：

Samimi, O. ^{[1
]}

Mardani, Z. ^{[1
]}

Sharafpour, S. ^{[1
]}

Mehrdoust, F. ^{[1
]}

机构：

[1] Univ Guilan, Fac Math Sci, Dept Appl Math, Rasht, Iran

来源：

COMPUTATIONAL ECONOMICS | 2017年 / 50卷 / 02期

关键词：

American option; Heston-Hull-White model; LSM method;

D O I：

10.1007/s10614-016-9598-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we present American option pricing under Heston-Hull-White's stochastic volatility and stochastic interest rate model. To do this, we first discretize the stochastic processes with Euler discretization scheme. Then, we price American option by using least-squares Monte Carlo algorithm. We also compare the numerical results of our model with the Heston-CIR model. Finally, numerical results show the efficiency of the proposed algorithm for pricing American option under the Heston-Hull-White model.

引用

页码：173 / 187

页数：15

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