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

DOI10.1080/00207160802681653MaRDI QIDQ3636740zbMATH OpenOpenAlexFDO

Authors 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

Mathematics Subject Classification ID

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

Recommendations

• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• High-order compact finite difference scheme for option pricing in stochastic volatility models
• High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
• A numerical method for option pricing under jump-diffusion process
• Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models

Cites work

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

Cited in

(6)

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

This page was built for publication: A fourth-order smoothing scheme for pricing barrier options under stochastic volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3636740)