Semi-implicit FEM for the valuation of American options under the Heston model
DOI10.1007/S40314-022-01764-YzbMATH Open1499.91179OpenAlexW4212845678MaRDI QIDQ2115059FDOQ2115059
Authors: 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
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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
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Cited In (10)
- 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
- Semismooth Newton methods with domain decomposition for American options
- A comparative study on time-efficient methods to price compound options in the Heston model
- Multiscale methods for the valuation of American options with stochastic volatility
- 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 finite volume-alternating direction implicit method for the valuation of American options under the Heston model
- Projected triangular decomposition methods for pricing American options under stochastic volatility model
- On some generalized American style derivatives
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