Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models

Xuemei Gao, Dongya Deng and Yue Shan

Discrete Dynamics in Nature and Society, 2014, vol. 2014, 1-6

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.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:165259

DOI: 10.1155/2014/165259

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