An efficient computational algorithm for pricing European, barrier and American options
From MaRDI portal
Publication:1993476
option pricingdomain decomposition methodBlack-Scholes equationpredictor-corrector methodspectral collocation technique
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Free boundary problems for PDEs (35R35) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)
Recommendations
- A fully spectral collocation method for pricing European style standard and nonstandard options
- Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
- Spectral methods for the Black-Scholes model of American options valuation
- A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
- Nonconforming least-squares spectral element method for European options
Cites work
- scientific article; zbMATH DE number 5145313 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 841285 (Why is no real title available?)
- A Fourier transform method for spread option pricing
- A modified Chebyshev pseudospectral DD algorithm for the GBH equation
- A new domain decomposition algorithm for generalized Burgers-Huxley equation based on Chebyshev polynomials and preconditioning
- A new predictor-corrector scheme for valuing American puts
- A note on variable step-size formulation of a Simpson's-type second derivative block method for solving stiff systems
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- A power penalty approach to numerical solutions of two-asset American options
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- A variable step implicit block multistep method for solving first-order ODEs
- A variable step-size implementation of a variational method for stiff differential equations
- Adaptive \(\theta \)-methods for pricing American options
- Chebyshev spectral collocation methods for nonlinear isothermal magnetostatic atmospheres
- Compact finite difference method for American option pricing
- Continuous block implicit hybrid one-step methods for ordinary and delay differential equations
- Finite difference schemes for a nonlinear Black-Scholes model with transaction cost and volatility risk
- Front-fixing FEMs for the pricing of American options based on a PML technique
- Highly stable implicit-explicit Runge-Kutta methods
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Option pricing: A simplified approach
- Penalty methods for the numerical solution of American multi-asset option problems
- Pricing American bond options using a penalty method
- Pricing European and American options by radial basis point interpolation
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- Radial basis function partition of unity methods for pricing vanilla basket options
- Spectral collocation method for the solution of the generalized Burgers-Fisher equation
- Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing
- The pricing of options and corporate liabilities
Cited in
(12)- Using computational methodology to price European options with actual payoff distributions
- Efficient willow tree method for European-style and American-style moving average barrier options pricing
- A fully spectral collocation method for pricing European style standard and nonstandard options
- An Efficient, and Fast Convergent Algorithm for Barrier Options
- A lattice algorithm for pricing moving average barrier options
- Very fast algorithms for implied barriers and moving-barrier options pricing
- Rational spectral collocation method for pricing American vanilla and butterfly spread options
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
- On some generalized American style derivatives
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
- A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
This page was built for publication: An efficient computational algorithm for pricing European, barrier and American options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1993476)
