A fast numerical method to price American options under the Bates model
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Publication:516683
operator splittingoption pricingAmerican optionpseudospectral methodBates modelChebyshev approximation
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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Cites work
- scientific article; zbMATH DE number 5935369 (Why is no real title available?)
- scientific article; zbMATH DE number 193036 (Why is no real title available?)
- scientific article; zbMATH DE number 915500 (Why is no real title available?)
- scientific article; zbMATH DE number 1414604 (Why is no real title available?)
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A componentwise splitting method for pricing American options under the Bates model
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- A fast stationary iterative method for a partial integro-differential equation in pricing options
- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
- A numerical solution for non-classical parabolic problem based on Chebyshev spectral collocation method
- A projected algebraic multigrid method for linear complementarity problems
- A radial basis function scheme for option pricing in exponential Lévy models
- A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
- Accelerated generalized successive overrelaxation method for least squares problems
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- An iterative method for pricing American options under jump-diffusion models
- An iterative scheme for numerical solution of Volterra integral equations using collocation method and Chebyshev polynomials
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- Contour integral method for European options with jumps
- Efficient numerical methods for pricing American options under stochastic volatility
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- Exact and approximated option pricing in a stochastic volatility jump-diffusion model
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Fast numerical pricing of barrier options under stochastic volatility and jumps
- Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
- Multigrid for American option pricing with stochastic volatility
- Numerical solution of high dimensional stationary Fokker-Planck equations via tensor decomposition and Chebyshev spectral differentiation
- Numerical studies on nonlinear Schrödinger equations by spectral collocation method with preconditioning
- Numerical valuation of options with jumps in the underlying
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
- Penalty methods for American options with stochastic volatility
- Positive finite difference schemes for a partial integro-differential option pricing model
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Smoothing schemes for reaction-diffusion systems with nonsmooth data
- Solving Ordinary Differential Equations I
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations
- The solution of linear and nonlinear systems of Volterra functional equations using Adomian-Padé technique
Cited in
(21)- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Numerical stability of a hybrid method for pricing options
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- A high-order finite difference method for option valuation
- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
- ADI schemes for valuing European options under the Bates model
- Computational scheme for solving nonlinear fractional stochastic differential equations with delay
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- High-order time stepping scheme for pricing American option under bates model
- A componentwise splitting method for pricing American options under the Bates model
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- Fast and accurate calculation of American option prices
- Efficient image denoising technique using the meshless method: investigation of operator splitting RBF collocation method for two anisotropic diffusion-based PDEs
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
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