%0 Journal Article
%T A Shannon Wavelet Method for Pricing American Options under Two-Factor Stochastic Volatilities and Stochastic Interest Rate
%A Guo
%A Xunxiang
%A Shoude
%A Huang
%J -
%D 2020
%R https://doi.org/10.1155/2020/8531959
%X In the paper, the pricing of the American put options under the double Heston model with Cox¨CIngersoll¨CRoss (CIR) interest rate process is studied. The characteristic function of the log asset price is derived, and thereby Bermuda options are well evaluated by means of a state-of-the-art Shannon wavelet inverse Fourier technique (SWIFT), which is a robust and highly efficient pricing method. Based on the SWIFT method, the price of American option can be approximated by using Richardson extrapolation schemes on a series of Bermudan options. Numerical experiments show that the proposed pricing method is efficient, especially for short-term American put options
%U https://www.hindawi.com/journals/ddns/2020/8531959/