Multiscale methods for the valuation of American options with stochastic volatility

DOI10.1080/00207160.2012.672732zbMath1255.91307MaRDI QIDQ4903541

Angela Kunoth, Katharina Wiechers, Christian Schneider

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

zbMATH Keywords

American option pricing; free boundary; parabolic boundary value problem; multigrid efficiency; Heston's model; monotone multigrid method; stochastic volatiliy

Mathematics Subject Classification ID

65D07: Numerical computation using splines

91G60: Numerical methods (including Monte Carlo methods)

91B70: Stochastic models in economics

65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs

65M55: Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs

35J86: Unilateral problems for linear elliptic equations and variational inequalities with linear elliptic operators

Related Items

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, 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, Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• A multilevel iterative method for symmetric, positive definite linear complementarity problems
• Operator splitting methods for pricing American options under stochastic volatility
• American option pricing under stochastic volatility: an efficient numerical approach
• American option pricing under stochastic volatility: an empirical evaluation
• Pricing American options using a space-time adaptive finite difference method
• Error estimates for the finite element solution of variational inequalities. Part I. primal theory
• Penalty methods for American options with stochastic volatility
• Moment explosions in stochastic volatility models
• Relaxation bei nichtsymmetrischen Matrizen
• A Theory of the Term Structure of Interest Rates
• Space-time adaptive wavelet methods for parabolic evolution problems
• Sobolev index: A classification of L\'evy processes
• Wavelet Galerkin pricing of American options on Lévy driven assets
• B‐Spline‐Based Monotone Multigrid Methods
• Optimized wavelet preconditioning
• Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Multigrid for American option pricing with stochastic volatility
• An Introduction to Partial Differential Equations
• Computational Methods for Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Efficient numerical methods for pricing American options under stochastic volatility
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
• Tools for computational finance