Penalty methods for American options with stochastic volatility
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American constraintfinite elementNewton iterationnonlinearPDE option pricingpenalty methodspreconditioned conjugate gradient-like methodstochastic volatility
PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Microeconomic theory (price theory and economic markets) (91B24)
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Control Volume Finite Element Approach to NAPL Groundwater Contamination
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
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- Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
- Fast numerical valuation of American, exotic and complex options
- GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems
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- Parallel iterative methods for sparse linear systems
- PDE methods for pricing barrier options
- Penalty methods for American options with stochastic volatility
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Cited in
(only showing first 100 items - show all)- Pricing perpetual American catastrophe put options: A penalty function approach
- Intensity-based framework and penalty formulation of optimal stopping problems
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- Penalty methods for American options with stochastic volatility
- PDE methods for pricing barrier options
- Solving finite difference schemes arising in trivariate option pricing.
- A quasi-radial basis functions method for American options pricing.
- The evaluation of compound options based on RBF approximation methods
- A comparative analysis of local meshless formulation for multi-asset option models
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Asset retirement with infinitely repeated alternative replacements: harvest age and species choice in forestry
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- A high-order finite difference method for option valuation
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- A penalty method for American options with jump diffusion processes
- A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
- Accurate numerical method for pricing two-asset American put options
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- A positivity-preserving numerical scheme for nonlinear option pricing models
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- A two-grid penalty method for American options
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- A local radial basis function method for pricing options under the regime switching model
- Radial basis function partition of unity methods for pricing vanilla basket options
- A power penalty approach to a mixed quasilinear elliptic complementarity problem
- Option valuation under the VG process by a DG method.
- 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
- Penalty and penalty-like methods for nonlinear HJB PDEs
- An efficient finite element method for pricing American multi-asset put options
- An efficient numerical method for the valuation of American multi-asset options
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
- Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing
- Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
- A robust spectral method for solving Heston's model
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- First- and second-order necessary conditions via exact penalty functions
- Power penalty method for a linear complementarity problem arising from American option valuation
- 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
- Wireless network capacity management: a real options approach
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing
- A fitted finite volume method for the valuation of options on assets with stochastic volatilities
- Augmented Lagrangian method applied to American option pricing
- A finite difference method for pricing European and American options under a geometric Lévy process
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
- Wellposedness of the boundary value formulation of a fixed strike Asian option
- Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
- Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- 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
- Recent advances in numerical solution of HJB equations arising in option pricing
- Lapse rate modeling: a rational expectation approach
- scientific article; zbMATH DE number 6001326 (Why is no real title available?)
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- On pricing contingent claims under the double Heston model
- Pseudospectral methods for pricing options
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- An alternating-direction implicit difference scheme for pricing Asian options
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
- High-order compact finite difference scheme for option pricing in stochastic volatility models
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- Unstructured meshing for two asset barrier options
- A numerical method to determine the optimal stopping boundary for installment option
- Pricing American call options under a hard-to-borrow stock model
- Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
- Numerical Study of Splitting Methods for American Option Valuation
- Evaluation of double average asian options by the legendre spectral method
- A penalty approximation method for a semilinear parabolic double obstacle problem
- An implied volatility model determined by credit default swaps
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- 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
- A box-constrained differentiable penalty method for nonlinear complementarity problems
- A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
- A finite volume-alternating direction implicit method for the valuation of American options under the Heston model
- High-order time stepping scheme for pricing American option under bates model
- 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
- An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
- Parallel two-grid semismooth Newton-Krylov-Schwarz method for nonlinear complementarity problems
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