A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options
提出一种加速递归积分法，用于基于随机波动率和双跳跃过程的美式期权定价，通过将美式期权价格分解为欧式期权价格与提前行权溢价之和，数值实验表明该方法高效且精确。
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. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:887–901, 2016