An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
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Publication:2864595
DOI10.1002/NUM.21780zbMATH Open1275.91149OpenAlexW2106671747MaRDI QIDQ2864595FDOQ2864595
Publication date: 26 November 2013
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.21780
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- scientific article; zbMATH DE number 7089055
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
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- Fourth-Order Time-Stepping for Stiff PDEs
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- Efficient numerical methods for pricing American options under stochastic volatility
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
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- Attainable order of rational approximations to the exponential function with only real poles
- On multigrid for linear complementarity problems with application to American-style options
- Exponential time integration for fast finite element solutions of some financial engineering problems
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Pricing American options using a space-time adaptive finite difference method
- On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
Cited In (11)
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
- A compact fourth-order \(L\)-stable scheme for reaction-diffusion systems with nonsmooth data
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Partial differential integral equation model for pricing American option under multi state regime switching with jumps
- 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
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