A comparative study on time-efficient methods to price compound options in the Heston model

DOI10.1016/J.CAMWA.2014.01.008zbMATH Open1386.91161OpenAlexW2087527013MaRDI QIDQ316625FDOQ316625

Authors: Carl Chiarella, Boda Kang, Susanne Griebsch 

Publication date: 27 September 2016

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2014.01.008

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zbMATH Keywords

parallel computingcomputational techniquesEuropean compound optionHeston model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic models in economics (91B70)

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A novel pricing method for European options based on Fourier-cosine series expansions
• A Fourier-based valuation method for Bermudan and barrier options under Heston's model
• Mathematical methods for foreign exchange. A financial engineer's approach
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
• The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
• Title not available (Why is that?)
• Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
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• American options in the Heston model with stochastic interest rate and its generalizations
• Boundary values and finite difference methods for the single factor term structure equation
• Linear parabolic equations with venttsel initial boundary conditions
• A comparison of biased simulation schemes for stochastic volatility models
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility

Cited In (4)

• The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
• The evaluation of compound options based on RBF approximation methods
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• A simple method for generalized sequential compound options pricing

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