A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility

DOI10.1080/00207160.2012.658379MaRDI QIDQ4903539zbMATH OpenOpenAlexFDO

Authors Anbo Le, Zhongdi Cen, Aimin Xu

Publication date 22 January 2013

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

Full work available at URL https://doi.org/10.1080/00207160.2012.658379

zbMATH Keywords

American optionlinear complementarity problemstochastic volatility modelmixed derivativesupwind difference scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility
• A uniqueness theorem for the generalized-order linear complementary problem associated with \(M\)-matrices
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• Efficient numerical methods for pricing American options under stochastic volatility
• Far field boundary conditions for Black-Scholes equations
• Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
• Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
• Multigrid for American option pricing with stochastic volatility
• On the error estimate of finite difference method for the obstacle problem
• Operator splitting methods for pricing American options under stochastic volatility
• Penalty methods for American options with stochastic volatility
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• The pricing of options and corporate liabilities

Cited in

(5)

• Properties of American volatility options in the mean-reverting 3/2 volatility model
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility
• An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
• Accurate numerical method for pricing two-asset American put options
• scientific article; zbMATH DE number 7478906 (Why is no real title available?)

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