A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
DOI10.1080/00207160.2012.658379zbMATH Open1255.91432OpenAlexW2083008884MaRDI QIDQ4903539FDOQ4903539
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
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American optionlinear complementarity problemstochastic volatility modelmixed derivativesupwind difference scheme
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Cites Work
- The pricing of options and corporate liabilities
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- Far field boundary conditions for Black-Scholes equations
- Operator splitting methods for pricing American options under stochastic volatility
- Multigrid for American option pricing with stochastic volatility
- Penalty methods for American options with stochastic volatility
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Efficient numerical methods for pricing American options under stochastic volatility
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
- On the error estimate of finite difference method for the obstacle problem
- Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
- A spectral-collocation method for pricing perpetual American puts with stochastic volatility
- Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
- A uniqueness theorem for the generalized-order linear complementary problem associated with \(M\)-matrices
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
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