A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options

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• 作者：Lung-Fu Chang ; Jia-Hau Guo and Mao-Wei Hung
• 刊名：Journal of Futures Markets
• 出版年：2016
• 出版时间：September 2016
• 年：2016
• 卷：36
• 期：9
• 页码：887-901
• 全文大小：114K
• ISSN：1096-9934

文摘

This article provides a general accelerated recursive integration method for pricing American options based on stochastic volatility and double jump processes. Our proposed model is a generalization of the recursive integral representation method. American option prices can be evaluated by the sum of a corresponding European option price and an early exercise premium integral. Numerical results show that our proposed method is efficient and accuracy in pricing American options with stochastic volatility and double jump processes.