An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
From MaRDI portal
Publication:2864595
DOI10.1002/num.21780zbMath1275.91149MaRDI QIDQ2864595
Muhammad Irfan Yousuf, Abdul Q. M. Khaliq
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
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Fourth-order methods for space fractional reaction–diffusion equations with non-smooth data, 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, 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, Preconditioned iterative methods for fractional diffusion models in finance
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Time-stepping algorithms for semidiscretized linear parabolic PDEs based on rational approximants with distinct real poles
- Exponential time differencing for stiff systems
- Smoothing schemes for reaction-diffusion systems with nonsmooth data
- Pricing American options using a space-time adaptive finite difference method
- Exponential time integration for fast finite element solutions of some financial engineering problems
- Penalty methods for American options with stochastic volatility
- On multigrid for linear complementarity problems with application to American-style options
- Quadratic Convergence for Valuing American Options Using a Penalty Method
- A Contour Integral Method for the Black–Scholes and Heston Equations
- On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
- Attainable order of rational approximations to the exponential function with only real poles
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Stochastic volatility, smile & asymptotics
- Multiscale Stochastic Volatility Asymptotics
- Fourth-Order Time-Stepping for Stiff PDEs
- Efficient numerical methods for pricing American options under stochastic volatility
