Numerical Methods for Option Pricing under the Two-Factor Models
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Summary
A general transformation to decouple correlated stochastic processes governed by a system of stochastically differential equations is introduced and a mixed Monte Carlo method, a lattice method, and a finite volume-alternating direction implicit method for pricing the European and American options under these models are developed.
- Published
- 2017-01-01
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- 0
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- 57
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- https://api.semanticscholar.org/CorpusID:126280211
References
- Stochastic Calculus for Finance II: Continuous-Time Models
- A Theory of the Term Structure of Interest Rates Under Non-expected Intertemporal Preferences
- American-Style Derivatives: Valuation and Computation
- Valuing GWBs with Stochastic Interest Rates and Volatility
- Mathematical models of financial derivatives
- Monte Carlo Methods in Financial Engineering
- European Option Pricing Formula Under Stochastic Interest Rate
- Abstract: An Equilibrium Characterization of the Term Structure
- ADI finite difference schemes for the Heston-Hull-White PDE
- Numerical solution of time-dependent advection-diffusion-reaction equations
- Monte Carlo methods for security pricing
- Pricing Financial Instruments: The Finite Difference Method
- Options: A Monte Carlo approach
- Pricing Options under Generalized GARCH and Stochastic Volatility Processes
- Parabolic ADI Methods for Pricing America Options on Two Stocks
- ADI Schemes for Pricing American Options under the Heston Model
- Pricing American options under stochastic volatility and stochastic interest rates
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Multigrid for American option pricing with stochastic volatility
- Valuing Asian and portfolio options by conditioning on the geometric mean price
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