Pricing multi-asset American option under Heston stochastic volatility model

Abstract

In this paper, we employ the Least-Squares Monte-Carlo (LSM) algorithm regarding three discretization schemes, namely, the Euler–Maruyama discretization scheme, the Milstein scheme and the Quadratic Exponential (QE) scheme to price the multiple assets American put option under the Heston stochastic volatility model. Some numerical results are presented to demonstrate the effectiveness of the proposed methods.