A quick operator splitting method for option pricing

DOI10.1016/J.CAM.2021.113949MaRDI QIDQ2074881zbMATH OpenOpenAlexWikidataFDO

Authors Chenglong Xu, Bihao Su, Chan Liu

Publication date 11 February 2022

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2021.113949

zbMATH Keywords

ADI operator-splittingfinite difference method for partial differential equationpreservation of convexityremoving of cross derivative term

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A componentwise splitting method for pricing American options under the Bates model
• A mixed derivative terms removing method in multi-asset option pricing problems
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• ADI schemes for higher-order nonlinear diffusion equations.
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique
• IMPROVED ACCURACY FOR LOCALLY ONE-DIMENSIONAL METHODS FOR PARABOLIC EQUATIONS
• Multigrid for American option pricing with stochastic volatility
• Numerical solution of two asset jump diffusion models for option valuation
• On multigrid for linear complementarity problems with application to American-style options
• Operator splitting methods for pricing American options under stochastic volatility
• Removing the correlation term in option pricing Heston model: numerical analysis and computing
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms

Cited in

(15)

• Operator splitting methods for American option pricing.
• A comparison study of ADI and operator splitting methods on option pricing models
• Operator splitting schemes for the two-asset Merton jump-diffusion model
• An iterative splitting method for pricing European options under the Heston model
• An operator splitting method for multi-asset options with the Feynman-Kac formula
• An operator splitting method for pricing the ELS option
• scientific article; zbMATH DE number 2185766 (Why is no real title available?)
• scientific article; zbMATH DE number 5346999 (Why is no real title available?)
• Operator splitting kernel based numerical method for a generalized Leland's model
• Jump without tears: a new splitting technology for barrier options
• Application of operator splitting methods in finance
• On multistep stabilizing correction splitting methods with applications to the Heston model
• Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
• Tamed stochastic Runge-Kutta-Chebyshev methods for stochastic differential equations with non-globally Lipschitz coefficients
• Operator splitting methods for pricing American options under stochastic volatility

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