Penalty methods for American options with stochastic volatility
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Publication:1298615
DOI10.1016/S0377-0427(98)00037-5zbMATH Open0945.65005MaRDI QIDQ1298615FDOQ1298615
Authors: R. Zvan, P. A. Forsyth, K. R. Vetzal 
Publication date: 22 August 1999
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Recommendations
nonlinearstochastic volatilityfinite elementpenalty methodsNewton iterationAmerican constraintPDE option pricingpreconditioned conjugate gradient-like method
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) 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)
Cites Work
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Cited In (only showing first 100 items - show all)
- Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
- Pricing perpetual American catastrophe put options: A penalty function approach
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
- Small dimension PDE for discrete Asian options
- A numerical analysis of variational valuation techniques for derivative securities
- A power penalty approach to a mixed quasilinear elliptic complementarity problem
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
- 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
- Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
- A numerical study of Asian option with high-order compact finite difference scheme
- A fixed point method for the linear complementarity problem arising from American option pricing
- First- and second-order necessary conditions via exact penalty functions
- An efficient numerical method for the valuation of American multi-asset options
- A local radial basis function method for pricing options under the regime switching model
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- Lapse rate modeling: a rational expectation approach
- A robust spectral method for solving Heston's model
- Wellposedness of the boundary value formulation of a fixed strike Asian option
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- DG framework for pricing European options under one-factor stochastic volatility models
- An alternating-direction implicit difference scheme for pricing Asian options
- High-order compact finite difference scheme for option pricing in stochastic volatility models
- American option pricing under stochastic volatility: an empirical evaluation
- Operator splitting methods for pricing American options under stochastic volatility
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Solving finite difference schemes arising in trivariate option pricing.
- Numerical solution of two asset jump diffusion models for option valuation
- A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Convergence analysis of a monotonic penalty method for American option pricing
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Pricing American options with uncertain volatility through stochastic linear complementarity models
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Pricing European and American options by radial basis point interpolation
- A fitted finite volume method for the valuation of options on assets with stochastic volatilities
- Penalty methods for the numerical solution of American multi-asset option problems
- Two-factor convertible bonds valuation using the method of characteristics/finite elements
- A quasi-radial basis functions method for American options pricing.
- Predictability and unpredictability in financial markets
- A penalty approximation method for a semilinear parabolic double obstacle problem
- Shout options: A framework for pricing contracts which can be modified by the investor
- Parallel two-grid semismooth Newton-Krylov-Schwarz method for nonlinear complementarity problems
- On the stability of a compact finite difference scheme for option pricing
- Pricing American call options under a hard-to-borrow stock model
- Penalty methods for American options with stochastic volatility
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- A positivity-preserving numerical scheme for nonlinear option pricing models
- A finite difference method for pricing European and American options under a geometric Lévy process
- A spectral element approximation to price European options with one asset and stochastic volatility
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- A box-constrained differentiable penalty method for nonlinear complementarity problems
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach
- PDE methods for pricing barrier options
- A fast Fourier transform technique for pricing American options under stochastic volatility
- A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Wireless network capacity management: a real options approach
- A componentwise splitting method for pricing American options under the Bates model
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- A penalty method for American options with jump diffusion processes
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
- An efficient finite element method for pricing American multi-asset put options
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- Intensity-based framework and penalty formulation of optimal stopping problems
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- A robust finite difference scheme for pricing American put options with singularity-separating method
- Pricing American options using a space-time adaptive finite difference method
- Power penalty method for a linear complementarity problem arising from American option valuation
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- A fast numerical method to price American options under the Bates model
- Adaptive \(\theta \)-methods for pricing American options
- An object-oriented framework for valuing shout options on high-performance computer architectures
- Primal-dual active set method for evaluating American put options on zero-coupon bonds
- American option pricing problem transformed on finite interval
- High-order time stepping scheme for pricing American option under bates model
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Exponential Rosenbrock integrators for option pricing
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Partial differential integral equation model for pricing American option under multi state regime switching with jumps
- Recent advances in numerical solution of HJB equations arising in option pricing
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
- Semi-implicit FEM for the valuation of American options under the Heston model
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
- A lattice algorithm for pricing moving average barrier options
- Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- A two-grid penalty method for American options
- A comparative analysis of local meshless formulation for multi-asset option models
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
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