A fast numerical method to price American options under the Bates model

DOI10.1016/J.CAMWA.2016.06.041zbMATH Open1357.91051OpenAlexW2499179468MaRDI QIDQ516683FDOQ516683

Authors: Luca Vincenzo Ballestra, Liliana Cecere 

Publication date: 15 March 2017

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.06.041

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zbMATH Keywords

operator splittingoption pricingAmerican optionpseudospectral methodBates modelChebyshev approximation

Mathematics Subject Classification ID

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)

Cites Work

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Cited In (19)

• A high-order finite difference method for option valuation
• ADI schemes for valuing European options under the Bates model
• Computational scheme for solving nonlinear fractional stochastic differential equations with delay
• VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
• European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
• High-order time stepping scheme for pricing American option under Bates model
• A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
• Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
• An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance
• A componentwise splitting method for pricing American options under the Bates model
• Pricing options under stochastic volatility jump model: a stable adaptive scheme
• Efficient image denoising technique using the meshless method: investigation of operator splitting RBF collocation method for two anisotropic diffusion-based PDEs
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
• Fast and accurate calculation of American option prices
• A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model

Uses Software

• NMOF

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