Pricing American Options Under Stochastic Volatility Model:A Nearly-Exact Discretization-Based Approach

摘要：

　　A nearly-exact discretization-based approach ES-QE-NN,combing together the exact simulation(ES)scheme for generating the volatility process and the quadratic exponential(QE)scheme for the price process and the least squares neutral network for estimating the value of American option within the framework of regression,is proposed.The performance of ES-QE-NN is tested and compared with the trivial Euler and QE-based approaches.Numerical results show that ES-QE-NN outperforms the others in accuracy of American option valuation,especially for cases dissatisfying the Feller condition under stochastic volatility model.

作者: YOUFA SUN SHUQI LI LUTAO DING GUOYA ZHANG

作者单位: School of Management,Guangdong University of Technology,Guangzhou,China

会议类型: 国际会议

会议名称: 2014 International Conference on Management and Engineering(CME 2014)(2014管理与工程国际会议)

会议地点: 上海

会议语种:英文

页码: 1-7

在线出版日期: 2014-05-24（万方平台首次上网日期，不代表论文的发表时间）