Stochastic volatility and correlated interest rates : American pricing compound options

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.

本研究深入探讨了多种显式和交替方向隐式（ADI）有限差分方法，以对具有提前行权机会的复合期权进行定价。假设股票价格、股票价格波动率和利率遵循相关的随机过程。