LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model

被引：0
|
作者：
O. Samimi
Z. Mardani
S. Sharafpour
F. Mehrdoust
机构：
[1] University of Guilan,Department of Applied Mathematics, Faculty of Mathematical Sciences
来源：
Computational Economics | 2017年 / 50卷
关键词：
American option; Heston–Hull–White model; LSM method;
D O I：
暂无
中图分类号：
学科分类号：
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.
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收藏
页码：173 / 187
页数：14
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