Multiscale methods for the valuation of American options with stochastic volatility
DOI10.1080/00207160.2012.672732zbMATH Open1255.91307OpenAlexW2163282685MaRDI QIDQ4903541FDOQ4903541
Authors: Angela Kunoth, Christian Schneider, Katharina Wiechers 
Publication date: 22 January 2013
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11299/181132
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Cited In (22)
- Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
- American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
- Semi-implicit FEM for the valuation of American options under the Heston model
- Multigrid for American option pricing with stochastic volatility
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- CTMC integral equation method for American options under stochastic local volatility models
- A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
- Calibration of the double Heston model and an analytical formula in pricing American put option
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- The forward-path method for pricing multi-asset American-style options under general diffusion processes
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
- Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
- Fast and reliable pricing of American options with local volatility
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods
- The valuation of American options in a multidimensional exponential Lévy model
- Reduced basis methods for pricing options with the Black-Scholes and Heston models
- American option pricing under the double Heston model based on asymptotic expansion
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
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