Efficient numerical methods for pricing American options under stochastic volatility
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American option pricingfinite difference methodlinear complementarity problemmultigrid methodoperator splitting methodpenalty methodstochastic volatility model
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Operator splitting methods for pricing American options under stochastic volatility
- Projected triangular decomposition methods for pricing American options under stochastic volatility model
- scientific article; zbMATH DE number 5346999
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
Cites work
- A Multigrid Tutorial, Second Edition
- Applied stochastic control of jump diffusions.
- scientific article; zbMATH DE number 53856 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- Optimization and nonsmooth analysis
- Parabolic variational inequalities: the Lagrange multiplier approach
- Tools for computational finance
Cited in
(84)- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
- ADI schemes for valuing European options under the Bates model
- Numerical methods for pricing American options with time-fractional PDE models
- Accurate numerical method for pricing two-asset American put options
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
- A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities
- Semi-implicit FEM for the valuation of American options under the Heston model
- Pricing real estate index options under stochastic interest rates
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
- Valuing switching options with the moving-boundary method
- CTMC integral equation method for American options under stochastic local volatility models
- High-order ADI scheme for option pricing in stochastic volatility models
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
- Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
- Modulus-based successive overrelaxation method for pricing American options
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Boundary evolution equations for American options
- On the stability of a compact finite difference scheme for option pricing
- Reduced basis methods for pricing options with the Black-Scholes and Heston models
- HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
- On the solution of complementarity problems arising in American options pricing
- \(hp\)-adaptive IPDG/TDG-FEM for parabolic obstacle problems
- American options in the Heston model with stochastic interest rate and its generalizations
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- scientific article; zbMATH DE number 5710731 (Why is no real title available?)
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- High-order compact finite difference scheme for option pricing in stochastic volatility models
- Multigrid for American option pricing with stochastic volatility
- Pricing American call options under a hard-to-borrow stock model
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility
- Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
- ADI schemes for pricing American options under the Heston model
- scientific article; zbMATH DE number 2107023 (Why is no real title available?)
- An implied volatility model determined by credit default swaps
- A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
- Multiscale methods for the valuation of American options with stochastic volatility
- LSV models with stochastic interest rates and correlated jumps
- American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
- Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
- Mixing LSMC and PDE methods to price Bermudan options
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- A fast numerical method to price American options under the Bates model
- A componentwise splitting method for pricing American options under the Bates model
- A fixed point method for the linear complementarity problem arising from American option pricing
- American option pricing under the double Heston model based on asymptotic expansion
- Positive numerical splitting method for the Hull and White 2D Black-Scholes equation
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- On the acceleration of explicit finite difference methods for option pricing
- Projected triangular decomposition methods for pricing American options under stochastic volatility model
- A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- A spectral element approximation to price European options with one asset and stochastic volatility
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- An efficient and provable sequential quadratic programming method for American and swing option pricing
- High order ADI splitting scheme for stochastic volatility model with jump
- A particle-mesh operator splitting framework for American option pricing under stochastic volatility
- A mixed finite element method for pricing American options and greeks in the Heston model
- Stability and error estimates of operator-splitting methods for pricing American option under regime-switching model with jumps
- Valuation of American options in ambiguous multifactor models
- Approximating stochastic volatility by recombinant trees
- Operator splitting methods for pricing American options under stochastic volatility
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- Pricing European and American options by radial basis point interpolation
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
- American option pricing under stochastic volatility: an empirical evaluation
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