A tree-based method to price American options in the Heston model

We develop an algorithm to price American options oil assets that follow the stochastic volatility model defined by Heston. We use art approach which is based on a modification of a combined tree for stock prices and volatilities, where the number of nodes grows quadratically in the number of tune steps. We show in a number of numerical tests that we get accurate results in a fast manner, and that features which are essential,for the practical use of stock option pricing algorithms, such as the incorporation of cash dividends and a term structure of interest rates, call easily be incorporated.