Pricing American options under stochastic volatility and stochastic interest rates
成果类型：
Article
署名作者：
Medvedev, Alexey; Scaillet, Olivier
署名单位：
University of Geneva; University of Geneva
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2010.03.017
发表日期：
2010
页码：
145-159
关键词：
摘要：
We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with time-to-maturity up to several years. The main advantage of our approach over existing methods lies in its straightforward extension to models with stochastic volatility and stochastic interest rates. We exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and correlations on the American put price. (C) 2010 Elsevier B.V. All rights reserved.