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

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Department of Applied Mathematics, University of Guilan, Rasht, Iran
Abstract:   (1667 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.
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Type of Study: Research | Subject: Special
Received: 2017/01/20 | Accepted: 2017/07/8 | Published: 2018/11/15

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