DATASET

BS Call-on-Call results.xlsx (8.18 kB)

DATASET

BS Call-on-Put results.xlsx (8.76 kB)

DATASET

BS Put-on-Call results.xlsx (8.79 kB)

DATASET

BS Put-on-Put results.xlsx (8.78 kB)

DATASET

Heston Call-on-Call results.xlsx (8.62 kB)

DATASET

Heston Call-on-Put results.xlsx (8.67 kB)

DATASET

Heston Put-on-Call results.xlsx (8.65 kB)

DATASET

Heston Put-on-Put results.xlsx (8.66 kB)

DATASET

HHW HCIR Call-on-Call results.xlsx (9.17 kB)

DATASET

HHW HCIR Call-on-Put results.xlsx (12.72 kB)

DATASET

HHW HCIR Put-on-Call results.xlsx (12.66 kB)

DATASET

HHW HCIR Put-on-Put results.xlsx (12.88 kB)

DATASET

Convergence BS results.csv (25.04 kB)

DATASET

Convergence Heston results.csv (12.42 kB)

DATASET

Convergence HHW results.csv (17.92 kB)

DATASET

Monte Carlo results.csv (7.44 kB)

DATASET

Similarity Call-on-Call results.csv (2.26 kB)

DATASET

Similarity Call-on-Put results.csv (2.26 kB)

DATASET

Similarity Put-on-Call results.csv (2.26 kB)

DATASET

Similarity Put-on-Put results.csv (2.27 kB)

1/0

20 files

Stochastic volatility and correlated interest rates : American pricing compound options

dataset

posted on 2024-07-18, 12:21 authored by Ruan NelRuan Nel

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.