A robust spectral method for solving Heston's model

Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

A closed-form solution for options with stochastic volatility with applications to bond and currency options
A Contour Integral Method for the Black–Scholes and Heston Equations
A new analytical approximation for European puts with stochastic volatility
A Rational Spectral Collocation Method with Adaptively Transformed Chebyshev Grid Points
Accuracy and stability of splitting with stabilizing corrections
ADI finite difference schemes for option pricing in the Heston model with correlation
An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms
An alternating-direction implicit scheme for parabolic equations with mixed derivatives
Efficient multi-dimensional solution of PDEs using Chebyshev spectral methods
scientific article; zbMATH DE number 1967777 (Why is no real title available?)
scientific article; zbMATH DE number 3329420 (Why is no real title available?)
Improved Condition Number for Spectral Methods
Multigrid for American option pricing with stochastic volatility
On loss functions and ranking forecasting performances of multivariate volatility models
On multigrid for linear complementarity problems with application to American-style options
On the Heston model with stochastic interest rates
On the numerical inversion of the Laplace transform of certain holomorphic mappings
On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
Operator splitting methods for pricing American options under stochastic volatility
Option pricing when underlying stock returns are discontinuous
Parabolic and hyperbolic contours for computing the Bromwich integral
Penalty methods for American options with stochastic volatility
Some New Aspects of Rational Interpolation
Spectral Methods in MATLAB
The Accurate Numerical Inversion of Laplace Transforms
Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
Valuation of power options under Heston's stochastic volatility model

Cited in

(3)

AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model
Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation

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Uses Software

Matlab

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