Projected triangular decomposition methods for pricing American options under stochastic volatility model

DOI10.3969/J.ISSN.1006-6330.2013.01.011MaRDI QIDQ5398776zbMATH OpenFDO

Authors Ning Zheng, Jun-Feng Yin, Chenglong Xu

Publication date 28 February 2014

Full work available at URL https://doi.org/10.3969/J.ISSN.1006-6330.2013.01.011

zbMATH Keywords

alternative direction implicit schemeAmerican optionconvergenceHeston stochastic volatility modellinear complementary problemprojected method

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) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(9)

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• Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
• Pricing American continuous-installment options under stochastic volatility model
• 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
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• Efficient numerical methods for pricing American options under stochastic volatility
• On pricing options under two stochastic volatility processes
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility

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