Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models
نویسندگان
چکیده
منابع مشابه
Operator Splitting Methods for Pricing American Options with Stochastic Volatility
Stochastic volatility models lead to more realistic option prices than the Black-Scholes model which uses a constant volatility. Based on such models a two-dimensional parabolic partial differential equation can derived for option prices. Due to the early exercise possibility of American option contracts the arising pricing problems are free boundary problems. In this paper we consider the nume...
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ژورنال
عنوان ژورنال: Discrete Dynamics in Nature and Society
سال: 2014
ISSN: 1026-0226,1607-887X
DOI: 10.1155/2014/165259