An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
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- scientific article; zbMATH DE number 7089055
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 predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Attainable order of rational approximations to the exponential function with only real poles
- Efficient numerical methods for pricing American options under stochastic volatility
- Exponential time differencing for stiff systems
- Exponential time integration for fast finite element solutions of some financial engineering problems
- Fourth-Order Time-Stepping for Stiff PDEs
- Multiscale Stochastic Volatility Asymptotics
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- On multigrid for linear complementarity problems with application to American-style options
- On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
- Penalty methods for American options with stochastic volatility
- Pricing American options using a space-time adaptive finite difference method
- Quadratic convergence for valuing American options using a penalty method
- Smoothing schemes for reaction-diffusion systems with nonsmooth data
- Stochastic volatility, smile & asymptotics
- The pricing of options and corporate liabilities
- The pricing of options on assets with stochastic volatilities
- Time-stepping algorithms for semidiscretized linear parabolic PDEs based on rational approximants with distinct real poles
Cited in
(11)- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- CTMC integral equation method for American options under stochastic local volatility models
- Preconditioned iterative methods for fractional diffusion models in finance
- Fourth-order methods for space fractional reaction-diffusion equations with non-smooth data
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- A fast numerical method to price American options under the Bates model
- A compact fourth-order L-stable scheme for reaction-diffusion systems with nonsmooth data
- Partial differential integral equation model for pricing American option under multi state regime switching with jumps
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
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