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

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

Cites Work

The pricing of options and corporate liabilities
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
ADI finite difference schemes for option pricing in the Heston model with correlation
Estimation of penalty parameters for symmetric interior penalty Galerkin methods
Discontinuous Galerkin Methods for Solving Elliptic and Parabolic Equations
Unified Analysis of Discontinuous Galerkin Methods for Elliptic Problems
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
A robust a-posteriori error estimator for discontinuous Galerkin methods for convection-diffusion equations
Title not available (Why is that?)
Mathematical methods for foreign exchange. A financial engineer's approach
Discontinuous Galerkin Methods for Advection-Diffusion-Reaction Problems
On the rate of convergence of discrete-time contingent claims.
Robust pricing of European options with wavelets and the characteristic function
The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
Operator splitting methods for pricing American options under stochastic volatility
Finite element solution of diffusion problems with irregular data
High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
Multigrid for American option pricing with stochastic volatility
Penalty methods for American options with stochastic volatility
Moment explosions in stochastic volatility models
Efficient numerical methods for pricing American options under stochastic volatility
Symmetric and Nonsymmetric Discontinuous Galerkin Methods for Reactive Transport in Porous Media
A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
Computational methods for quantitative finance. Finite element methods for derivative pricing
A spectral element approximation to price European options with one asset and stochastic volatility
On multigrid for linear complementarity problems with application to American-style options
Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
On the solution of complementarity problems arising in American options pricing
Smoothing of initial data and rates of convergence for parabolic difference equations
DG method for numerical pricing of multi-asset Asian options -- the case of options with floating strike.
A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
ADI Schemes for Pricing American Options under the Heston Model
Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
Multiscale methods for the valuation of American options with stochastic volatility
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
High-order ADI scheme for option pricing in stochastic volatility models
Finite Element and Discontinuous Galerkin Methods with Perfect Matched Layers for American Options
Norm Preconditioners for Discontinuous Galerkin $hp$-Finite Element Methods
Title not available (Why is that?)

Cited In (9)

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
Option valuation under the VG process by a DG method.
European option pricing under the log mean-reverting jump diffusion 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
Pricing European and American Options under Heston Model using Discontinuous Galerkin Finite Elements

This page was built for publication: Pricing European and American options under Heston model using discontinuous Galerkin finite elements

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1998136)