Removing the correlation term in option pricing Heston model: numerical analysis and computing

DOI10.1155/2013/246724MaRDI QIDQ2015262zbMATH OpenOpenAlexWikidataFDO

Authors M. Fakharany, M.-C. Casabán, R. Company, L. Jódar

Publication date 23 June 2014

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/246724

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• 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
• Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
• Far field boundary conditions for Black-Scholes equations
• High-order compact finite difference scheme for option pricing in stochastic volatility models
• Multigrid for American option pricing with stochastic volatility
• Numerical analysis and computing for option pricing models in illiquid markets
• Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
• PDE and martingale methods in option pricing.
• Time dependent Heston model

Cited in

(11)

• Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
• Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
• A mixed derivative terms removing method in multi-asset option pricing problems
• Positive finite difference schemes for a partial integro-differential option pricing model
• Numerical analysis of novel finite difference methods
• A quick operator splitting method for option pricing
• A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem
• An efficient method for solving spread option pricing problem: numerical analysis and computing
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
• Partial differential equation pricing of contingent claims under stochastic correlation
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump

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