lattice methods for pricing american strangles with two-dimensional stochastic volatility models
Abstract
The aim of this paper is to extend the lattice method proposed by Ritchken and Trevor (1999) for pricing American options with one-dimensional stochastic volatility models to the two-dimensional cases with strangle payoff. This proposed method is compared with the least square Monte-Carlo method via numerical examples.
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232114
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Article ID:
232114
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10.1155/2014/165259
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Scimatic Chain (ID: 481)
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