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

Chang Lung-Fu; Guo Jia-Hau; Hung Mao-Wei

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

机译：美式期权分析估值的递归积分方法的推广

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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. (C) 2015 Wiley Periodicals, Inc.

机译：本文提供了一种通用的加速递归集成方法，用于基于随机波动率和双跳过程为美式期权定价。我们提出的模型是递归积分表示方法的推广。美国期权价格可以通过相应的欧洲期权价格与早期执行溢价积分的总和来评估。数值结果表明，我们的方法在定价具有随机波动率和双跳过程的美国期权时是有效且准确的。（C）2015年Wiley Periodicals，Inc.

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《Journal of futures markets》 |2016年第9期|887-901|共15页
作者
Chang Lung-Fu; Guo Jia-Hau; Hung Mao-Wei;
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Natl Taipei Univ Business, Dept Finance, 321,Sec 1,Jinan Rd, Taipei 100, Taiwan;

Natl Chiao Tung Univ, Coll Management, Dept Informat Management & Finance, Hsinchu, Taiwan;

Natl Taiwan Univ, Coll Management, Taipei, Taiwan;

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

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