Pricing American compound options with stochastic volatility and correlated interest rates
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University of Pretoria
Abstract
We explore several explicit and alternating-direction implicit (ADI) finite difference methods for pricing compound options with early exercise opportunities. Stock prices, stock price volatilities, and interest rates are assumed to follow correlated stochastic processes.
Description
Dissertation (MSc (Financial Engineering))--University of Pretoria, 2023
Keywords
UCTD, Sustainable Development Goals (SDGs), Compound option, Option pricing, Stochastic process, Stochastic stock price, Stochastic volatility, Stochastic interest rate
Sustainable Development Goals
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