Volume 15, Issue 3 (11-2018)                   jor 2018, 15(3): 107-120 | Back to browse issues page

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Samimi O, Mehrdoust F. LSM approach to multi-asset American option pricing under Heston-Hull-White model. jor 2018; 15 (3) :107-120
URL: http://jamlu.liau.ac.ir/article-1-1429-en.html
LSM approach to multi-asset American option pricing under Heston-Hull-White model
O. Samimi , F. Mehrdoust *
Department of Applied Mathematics, University of Guilan, Rasht, Iran
Abstract:   (2601 Views)
In this paper, we study the problem of pricing multi-asset American-style options in the Heston-Hull-White model. It is widely recognized that our intended model compared to the original Heston model, due to its stochastic interest rate and stochastic volatility, is more compatible with the realistic of the market. We demonstrate the efficiency and accuracy of the our proposed method by verifying the effect of the interest rate and volatility levels on the multi-asset American put option price under the Heston-Hull-White model.
Keywords: Multi-asset American-style option, Heston model, Hetson-Hull-White model, LSM algorithm
Full-Text [PDF 1164 kb]   (1233 Downloads)    
Type of Study: Research | Subject: Special
Received: 2017/01/20 | Accepted: 2017/07/8 | Published: 2018/11/15
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