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

DOI10.1007/S40314-022-01764-YzbMATH Open1499.91179OpenAlexW4212845678MaRDI QIDQ2115059FDOQ2115059

Qi Zhang, Haiming Song, Yongle Hao

Publication date: 15 March 2022

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-022-01764-y

zbMATH Keywords

penalty methodAmerican optionsHeston modelsemi-implicit finite element method

Mathematics Subject Classification ID

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)

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
• Optimum consumption and portfolio rules in a continuous-time model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Title not available (Why is that?)
• Operator splitting methods for pricing American options under stochastic volatility
• Penalty methods for American options with stochastic volatility
• An efficient finite element method for pricing American multi-asset put options
• A finite difference method for pricing European and American options under a geometric Lévy process
• Pricing American bond options using a penalty method
• Efficient numerical methods for pricing American options under stochastic volatility
• Operator splitting methods for American option pricing.
• Approximate basket options valuation for a jump-diffusion model
• Front-fixing FEMs for the pricing of American options based on a PML technique
• Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility
• Tools for computational finance
• Pricing American options using a space-time adaptive finite difference method
• Application of the local radial basis function-based finite difference method for pricing American options
• A numerical analysis of variational valuation techniques for derivative securities
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility
• Perfectly matched layers for the heat and advection-diffusion equations
• A new operator splitting method for American options under fractional Black-Scholes models
• Multiscale methods for the valuation of American options with stochastic volatility
• Using forward Monte-Carlo simulation for the valuation of American barrier options
• Primal-dual active set method for pricing American better-of option on two assets
• Finite Element and Discontinuous Galerkin Methods with Perfect Matched Layers for American Options
• PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution
• Weak Galerkin finite element method for valuation of American options
• American option pricing under GARCH with non-normal innovations

Cited In (3)

• 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

This page was built for publication: Semi-implicit FEM for the valuation of American options under the Heston model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2115059)