Multiscale methods for the valuation of American options with stochastic volatility
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Publication:4903541
DOI10.1080/00207160.2012.672732zbMATH Open1255.91307OpenAlexW2163282685MaRDI QIDQ4903541FDOQ4903541
free boundaryAmerican option pricingparabolic boundary value problemmultigrid efficiencyHeston's modelmonotone multigrid methodstochastic volatiliy
Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Unilateral problems for linear elliptic equations and variational inequalities with linear elliptic operators (35J86) 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)
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Cites work
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- scientific article; zbMATH DE number 3747703 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
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- Multigrid for American option pricing with stochastic volatility
- Operator splitting methods for pricing American options under stochastic volatility
- Optimized wavelet preconditioning
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- Pricing American options using a space-time adaptive finite difference method
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Cited in
(22)- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- A reduced PDE method for European option pricing under multi-scale, multi-factor 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
- Reduced basis methods for pricing options with the Black-Scholes and Heston 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
- 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
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Multigrid for American option pricing with stochastic volatility
- 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
- American option pricing under the double Heston model based on asymptotic expansion
- The valuation of American options in a multidimensional exponential Lévy model
- 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
- Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods
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