High-order computational methods for option valuation under multifactor models

DOI10.1016/J.EJOR.2012.07.023MaRDI QIDQ2253418zbMATH OpenOpenAlexFDO

Authors Désiré Yannick Tangman, M. R. Lollchund, Muddun Bhuruth, Nisha Rambeerich

Publication date 27 July 2014

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2012.07.023

zbMATH Keywords

financeAmerican optionsstochastic volatility modelGalerkin discretizationexponential time integration

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic models in economics (91B70)

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Cited in

(26)

• High-order methods for the option pricing under multivariate rough volatility models
• Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
• Efficient and accurate finite difference method for the four underlying asset ELS
• Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models
• An ETD method for multi‐asset American option pricing under jump‐diffusion model
• Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing
• Pricing exotic derivatives exploiting structure
• Calibration of the double Heston model and an analytical formula in pricing American put option
• Numerical analysis of novel finite difference methods
• A spectral element method for option pricing under regime-switching with jumps
• Commodity derivatives pricing with cointegration and stochastic covariances
• A practical finite difference method for the three-dimensional Black-Scholes equation
• Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
• Pseudospectral methods for pricing options
• A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
• Localized radial basis functions for no-arbitrage pricing of options under stochastic alpha-beta-rho dynamics
• 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models
• Pricing options with stochastic volatilities by the local differential quadrature method
• High-accuracy finite-difference methods for the valuation of options
• A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
• A high order finite element scheme for pricing options under regime switching jump diffusion processes
• American option pricing under the double Heston model based on asymptotic expansion

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