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Path-Dependent American Options function of two state variables. Under Local Volatility

Author

Listed:
  • olivier DELOIRE

    (Ecole Supérieure d'Electricité - SUPELEC (FRANCE))

  • Louis Roth

Abstract

this article presents a generic numerical method to price American options, under local volatility, that are function of one or two path dependent variables (e.g. dependence on the average AND the maximum value of the underlying).

Suggested Citation

  • olivier DELOIRE & Louis Roth, 2025. "Path-Dependent American Options function of two state variables. Under Local Volatility," Working Papers hal-04996062, HAL.
    • Handle: RePEc:hal:wpaper:hal-04996062
    Note: View the original document on HAL open archive server: https://hal.science/hal-04996062v1
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    File URL: https://hal.science/hal-04996062v1/document
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