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

DOI10.1016/J.CAMWA.2014.01.008MaRDI QIDQ316625zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1724307 (Why is no real title available?)
• scientific article; zbMATH DE number 2134189 (Why is no real title available?)
• A Fourier-based valuation method for Bermudan and barrier options under Heston's model
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of biased simulation schemes for stochastic volatility models
• A novel pricing method for European options based on Fourier-cosine series expansions
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• 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
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
• Linear parabolic equations with venttsel initial boundary conditions
• Mathematical methods for foreign exchange. A financial engineer's approach
• Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
• The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
• The pricing of options and corporate liabilities

Cited in

(5)

• On pricing options under two stochastic volatility processes
• 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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