Pricing European and American options under Heston model using discontinuous Galerkin finite elements

DOI10.1016/J.MATCOM.2020.05.022MaRDI QIDQ1998136zbMATH OpenOpenAlexWikidataFDO

Authors Sinem Kozpınar, Murat Uzunca, Bülent Karasözen

Publication date 6 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.08381

zbMATH Keywords

preconditioningAmerican optiondiscontinuous Galerkin methodEuropean optionHeston modelrannacher smoothing

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Financial applications of other theories (91G80)

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• Semi-implicit FEM for the valuation of American options under the Heston model
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Cites work

• scientific article; zbMATH DE number 4082281 (Why is no real title available?)
• scientific article; zbMATH DE number 2171415 (Why is no real title available?)
• A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
• A Fourier-based valuation method for Bermudan and barrier options under Heston's model
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
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• A spectral element approximation to price European options with one asset and stochastic volatility
• ADI finite difference schemes for option pricing in the Heston model with correlation
• ADI schemes for pricing American options under the Heston model
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• Discontinuous Galerkin methods for advection-diffusion-reaction problems
• Efficient numerical methods for pricing American options under stochastic volatility
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• Finite element solution of diffusion problems with irregular data
• High-order ADI scheme for option pricing in stochastic volatility models
• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
• High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
• Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
• Mathematical methods for foreign exchange. A financial engineer's approach
• Moment explosions in stochastic volatility models
• Multigrid for American option pricing with stochastic volatility
• Multiscale methods for the valuation of American options with stochastic volatility
• Norm Preconditioners for Discontinuous Galerkin hp-Finite Element Methods
• On multigrid for linear complementarity problems with application to American-style options
• On the rate of convergence of discrete-time contingent claims.
• On the solution of complementarity problems arising in American options pricing
• Operator splitting methods for pricing American options under stochastic volatility
• Penalty methods for American options with stochastic volatility
• Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
• Robust pricing of European options with wavelets and the characteristic function
• Smoothing of initial data and rates of convergence for parabolic difference equations
• Symmetric and Nonsymmetric Discontinuous Galerkin Methods for Reactive Transport in Porous Media
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
• The pricing of options and corporate liabilities
• Unified Analysis of Discontinuous Galerkin Methods for Elliptic Problems

Cited in

(11)

• A new approach for pricing discounted American options
• The discontinuous Galerkin method for discretely observed Asian options
• Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
• A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
• Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
• Orthogonal wavelet method for multi-stage expansion and contraction options under stochastic volatility
• Option valuation under the VG process by a DG method.
• Pricing European and American Options under Heston Model using Discontinuous Galerkin Finite Elements
• European option pricing under the log mean-reverting jump diffusion stochastic volatility model
• Reduced-order modeling for Heston stochastic volatility model
• 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

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