Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
Author:
Affiliation:
1. School of Science, Xi'an University of Posts and Telecommunications, Xi'an, People's Republic of China
2. Department of Mathematics and Statistics, Curtin University, Perth, Australia
Funder
National Natural Science Foundation of China
Natural Science Foundation of Shaanxi Province, China
Scientific Research Foundation of the Education Department of Shaanxi Province, China
Publisher
Informa UK Limited
Subject
Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications
Link
https://www.tandfonline.com/doi/pdf/10.1080/00207160.2019.1579316
Reference33 articles.
1. American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics
2. Delta hedging in discrete time under stochastic interest rate
3. On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models
4. Pricing and hedging long-term options
5. Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach
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