Multiscale methods for the valuation of American options with stochastic volatility
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American option pricingfree boundaryHeston's modelmonotone multigrid methodmultigrid efficiencyparabolic boundary value problemstochastic volatiliy
Unilateral problems for linear elliptic equations and variational inequalities with linear elliptic operators (35J86) Numerical computation using splines (65D07) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic models in economics (91B70) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A multilevel iterative method for symmetric, positive definite linear complementarity problems
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- A theory of the term structure of interest rates
- American option pricing under stochastic volatility: an efficient numerical approach
- American option pricing under stochastic volatility: an empirical evaluation
- An Introduction to Partial Differential Equations
- B‐Spline‐Based Monotone Multigrid Methods
- Computational Methods for Option Pricing
- Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
- Efficient numerical methods for pricing American options under stochastic volatility
- Error estimates for the finite element solution of variational inequalities. Part I. primal theory
- Feynman-Kac-formulas for option price valuation in Lévy models.
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- Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
- Moment explosions in stochastic volatility models
- Multigrid for American option pricing with stochastic volatility
- Operator splitting methods for pricing American options under stochastic volatility
- Optimized wavelet preconditioning
- Penalty methods for American options with stochastic volatility
- Pricing American options using a space-time adaptive finite difference method
- Relaxation bei nichtsymmetrischen Matrizen
- Space-time adaptive wavelet methods for parabolic evolution problems
- The pricing of options and corporate liabilities
- Tools for computational finance
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Valuing American options by simulation: a simple least-squares approach
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(25)- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Calibration of the double Heston model and an analytical formula in pricing American put option
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
- Semi-implicit FEM for the valuation of American options under the Heston model
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- CTMC integral equation method for American options under stochastic local volatility models
- The forward-path method for pricing multi-asset American-style options under general diffusion processes
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Reduced basis methods for pricing options with the Black-Scholes and Heston models
- Fast and reliable pricing of American options with local volatility
- Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
- Multigrid for American option pricing with stochastic volatility
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
- A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
- The valuation of American options in a multidimensional exponential Lévy model
- American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
- Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- American option pricing under the double Heston model based on asymptotic expansion
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods
- A particle-mesh operator splitting framework for American option pricing under stochastic volatility
- A mixed finite element method for convection-diffusion complementarity problems
- A mixed finite element method for pricing American options and greeks in the Heston model
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