Pricing multi-asset American option under Heston stochastic volatility model

Oldouz Samimi and Farshid Mehrdoust
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Oldouz Samimi: Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran
Farshid Mehrdoust: Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran

International Journal of Financial Engineering (IJFE), 2018, vol. 05, issue 03, 1-16

Abstract: In this paper, we employ the Least-Squares Monte-Carlo (LSM) algorithm regarding three discretization schemes, namely, the Euler–Maruyama discretization scheme, the Milstein scheme and the Quadratic Exponential (QE) scheme to price the multiple assets American put option under the Heston stochastic volatility model. Some numerical results are presented to demonstrate the effectiveness of the proposed methods.

Keywords: American option; multi-asset; stochastic volatility model; Monte Carlo simulation; Least-Squares Monte–Carlo simulation (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S2424786318500263

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