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
收藏
页码：173 / 187
页数：15
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