Pricing multi-asset American option under Heston stochastic volatility model

被引：4
|
作者：
Samimi, Oldouz [1 ]
Mehrdoust, Farshid [1 ]
机构：
[1] Univ Guilan, Fac Math Sci, Dept Appl Math, Rasht, Iran
来源：
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2018年 / 5卷 / 03期
关键词：
American option; multi-asset; stochastic volatility model; Monte Carlo simulation; Least-Squares Monte-Carlo simulation;
D O I：
10.1142/S2424786318500263
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we employ the Least-Squares Monte-Carlo (LSM) algorithm regarding three discretization schemes, namely, the Euler-Maruyama discretization scheme, the Milstein scheme and the Quadratic Exponential (QE) scheme to price the multiple assets American put option under the Heston stochastic volatility model. Some numerical results are presented to demonstrate the effectiveness of the proposed methods.
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页数：16
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