Semi-implicit FEM for the valuation of American options under the Heston model
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Publication:2115059
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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Cites work
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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- American option pricing under GARCH with non-normal innovations
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- Finite element and discontinuous Galerkin methods with perfect matched layers for American options
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- Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
- Multiscale methods for the valuation of American options with stochastic volatility
- Operator splitting methods for American option pricing.
- Operator splitting methods for pricing American options under stochastic volatility
- Optimum consumption and portfolio rules in a continuous-time model
- PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution
- Penalty methods for American options with stochastic volatility
- Perfectly matched layers for the heat and advection-diffusion equations
- Pricing American bond options using a penalty method
- Pricing American options using a space-time adaptive finite difference method
- Primal-dual active set method for pricing American better-of option on two assets
- Stock price distributions with stochastic volatility: an analytic approach
- The pricing of options and corporate liabilities
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- Tools for computational finance
- Using forward Monte-Carlo simulation for the valuation of American barrier options
- Weak Galerkin finite element method for valuation of American options
Cited in
(10)- Projected triangular decomposition methods for pricing American options under stochastic volatility model
- A finite volume-alternating direction implicit method for the valuation of American options under the Heston model
- A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
- Calibration of the double Heston model and an analytical formula in pricing American put option
- A comparative study on time-efficient methods to price compound options in the Heston model
- Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- On some generalized American style derivatives
- Semismooth Newton methods with domain decomposition for American options
- Multiscale methods for the valuation of American options with stochastic volatility
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