A predictor-corrector approach for pricing American options under the finite moment log-stable model
From MaRDI portal
Publication:493985
DOI10.1016/J.APNUM.2015.06.004zbMATH Open1329.91136OpenAlexW1902909323MaRDI QIDQ493985FDOQ493985
Authors: Xiang Xu, Song-Ping Zhu, Wen-Ting Chen 
Publication date: 7 September 2015
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2015.06.004
Recommendations
- Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
- scientific article; zbMATH DE number 6452524
- Evaluation finite moment log-stable option pricing by a spectral method
- Numerical solution of fractional Black-Scholes model of American put option pricing via a nonstandard finite difference method: stability and convergent analysis
- Numerical methods for pricing American options with time-fractional PDE models
free boundary problemAmerican optionspredictor-correctorfractional partial differential equationspectral-collocation method
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Cites Work
- Title not available (Why is that?)
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- Spectral and high-order methods with applications.
- Title not available (Why is that?)
- Convergence analysis of the Jacobi spectral-collocation methods for Volterra integral equations with a weakly singular kernel
- Some mathematical results in the pricing of American options
- Title not available (Why is that?)
- A finite difference method for pricing European and American options under a geometric Lévy process
- An inverse finite element method for pricing American options
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- An exact and explicit solution for the valuation of American put options
- Heat conduction in a melting solid
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- A convergence analysis of the Jacobi spectral-collocation method for fractional integro-differential equations
- A closed-form solution to American options under general diffusion processes
- CRITICAL STOCK PRICE NEAR EXPIRATION
- American options on assets with dividends near expiry
- Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
- A new predictor-corrector scheme for valuing American puts
Cited In (33)
- Numerical methods for pricing American options with time-fractional PDE models
- Numerical solution of the time fractional Black-Scholes model governing European options
- Stock loan valuation based on the finite moment log-stable process
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
- Spectrally accurate option pricing under the time-fractional Black-Scholes model
- Title not available (Why is that?)
- Option pricing under the KoBol model
- A compact finite difference scheme for fractional Black-Scholes option pricing model
- Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- An explicit closed-form analytical solution for European options under the CGMY model
- Evaluation finite moment log-stable option pricing by a spectral method
- PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
- An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- Predictor-corrector balance method for the worst-case 1D option pricing
- A compact quadratic spline collocation method for the time-fractional Black-Scholes model
- Pricing of margin call stock loan based on the FMLS
- A second order numerical method for the time-fractional Black-Scholes European option pricing model
- A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model
- A new predictor-corrector scheme for valuing American puts
- An efficient computational algorithm for pricing European, barrier and American options
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- Approximation of time fractional Black-Scholes equation via radial kernels and transformations
- Localized kernel-based meshless method for pricing financial options underlying fractal transmission system
This page was built for publication: A predictor-corrector approach for pricing American options under the finite moment log-stable model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q493985)
