A fourth-order smoothing scheme for pricing barrier options under stochastic volatility

DOI10.1080/00207160802681653zbMATH Open1163.91429OpenAlexW1974131215MaRDI QIDQ3636740FDOQ3636740

M. Yousuf

Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160802681653

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Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Finite element solution of diffusion problems with irregular data
• Time-stepping algorithms for semidiscretized linear parabolic PDEs based on rational approximants with distinct real poles
• PDE methods for pricing barrier options
• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
• High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
• A parallel block cyclic reduction algorithm for the fast solution of elliptic equations
• Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data

Cited In (6)

• An analytical approximation for single barrier options under stochastic volatility models
• Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
• A class of fourth-order Padé schemes for fractional exotic options pricing model
• The evaluation of barrier option prices under stochastic volatility
• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• An analytical approximation method for pricing barrier options under the double Heston model

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