Heston for American Options

godfrey · February 28th, 2012, 1:17 am

Does anyone have Matlab codes that implement the lattice methods of Beliaeva & Nawalkha (2010) or Leisen (1998) to value American options under Heston stochastic volatility?

fab10ab · February 28th, 2012, 4:05 pm

I'm trying to do Beliaeva and Nawalkha also, and I'm having trouble at the last step (combining the Y and V trees). I'm going to try a 2-dimensional lattice.

woohoo · May 8th, 2012, 3:36 am

i dun really see the point of heston for americans.more of a stoch rates than stoch vol issue