Computational Methods for Option Pricing

DOI10.1137/1.9780898717495zbMath1078.91008OpenAlexW1604311391MaRDI QIDQ5316392

Publication date: 12 September 2005

Full work available at URL: https://semanticscholar.org/paper/e70220264de91fec31b274d82ea35d40acc31031

finite elements Lévy processes stochastic volatility finite differences automatic differentiation Monte Carlo simulation American options Black-Scholes model Tikhonov regularization efficient algorithms European options local volatility computational finance asset price dynamics adaptive mesh refinitement

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items

Option pricing under model involving slow growth volatility ⋮ Proper generalized decomposition of multiscale models ⋮ A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation ⋮ Calibration of options on a reduced basis ⋮ A Gaussian radial basis function-finite difference technique to simulate the HCIR equation ⋮ Optimal impulse control of a portfolio with a fixed transaction cost ⋮ Recirculating flows involving short fiber suspensions: numerical difficulties and efficient advanced micro-macro solvers ⋮ Option pricing under the jump diffusion and multifactor stochastic processes ⋮ Extensions of the deep Galerkin method ⋮ A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations ⋮ The Parareal Algorithm for American Options ⋮ Calibration to American options: numerical investigation of the de-Americanization method ⋮ An Introduction to Particle Methods with Financial Applications ⋮ The parareal algorithm for American options ⋮ Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options ⋮ Recent advances and new challenges in the use of the proper generalized decomposition for solving multidimensional models ⋮ Dupire-like identities for complex options ⋮ On a new family of radial basis functions: mathematical analysis and applications to option pricing ⋮ Solving parametric complex fluids models in rheometric flows ⋮ REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY ⋮ Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models ⋮ Variational Analysis for Options with Stochastic Volatility and Multiple Factors ⋮ Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing ⋮ Towards fast weak adversarial training to solve high dimensional parabolic partial differential equations using XNODE-WAN ⋮ Analysis of VIX Markets with a Time-Spread Portfolio ⋮ Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval ⋮ Implied Filtering Densities on the Hidden State of Stochastic Volatility ⋮ A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models ⋮ Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients ⋮ A spectral element method to price European options. I. Single asset with and without jump diffusion ⋮ A spectral element approximation to price European options with one asset and stochastic volatility ⋮ Spectrum preservers revisited ⋮ On the deterministic solution of multidimensional parametric models using the proper generalized decomposition ⋮ Reconstruction of local volatility surface from American options ⋮ Spectral element method for parabolic initial value problem with non-smooth data: analysis and application ⋮ Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing ⋮ Non-incremental boundary element discretization of parabolic models based on the use of the proper generalized decompositions ⋮ Numerical solution of time-fractional Black-Scholes equation ⋮ Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics ⋮ Parameter identification in financial market models with a feasible point SQP algorithm ⋮ On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility ⋮ Option pricing with a direct adaptive sparse grid approach ⋮ An efficient numerical method for the valuation of American multi-asset options ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION ⋮ Mixing Monte-Carlo and partial differential equations for pricing options ⋮ Error estimates for backward Euler finite element approximations of American call option valuation ⋮ A discontinuous Galerkin scheme for front propagation with obstacles ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ Stability of an implicit method to evaluate option prices under local volatility with jumps ⋮ Power penalty approach to American options pricing under regime switching ⋮ Identification of the local speed function in a Lévy model for option pricing ⋮ Wavelet-Galerkin method for second-order integro-differential equations on product domains ⋮ A connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles ⋮ Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model ⋮ From single-scale to two-scales kinetic theory descriptions of rods suspensions ⋮ Space-time adaptive finite difference method for European multi-asset options ⋮ Fast numerical valuation of options with jump under Merton's model ⋮ Using spectral element method to solve variational inequalities with applications in finance ⋮ Semismooth Newton methods with domain decomposition for American options ⋮ A fast high-order finite difference algorithm for pricing American options ⋮ Lie symmetries of \((1+2)\) nonautonomous evolution equations in financial mathematics ⋮ A non linear approximation method for solving high dimensional partial differential equations: application in finance ⋮ An iterative method for pricing American options under jump-diffusion models ⋮ Numerical methods for Lévy processes ⋮ Nonconforming least-squares spectral element method for European options ⋮ Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements ⋮ Data driven recovery of local volatility surfaces ⋮ Local volatility dynamic models ⋮ Pricing American options using a space-time adaptive finite difference method ⋮ Distribution functions of Poisson random integrals: analysis and computation ⋮ Multilevel Preconditioning for Variational Problems ⋮ Semismooth Newton methods for variational problems with inequality constraints ⋮ Fast reconstruction of time-dependent market volatility for European options ⋮ DG method for pricing European options under Merton jump-diffusion model. ⋮ A direct algorithm in some free boundary problems ⋮ High-Order Compact Finite Difference Method for Black–Scholes PDE ⋮ Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval ⋮ A penalty-based method from reconstructing smooth local volatility surface from American options ⋮ Estimation of the Brownian dimension of a continuous Itô process ⋮ Adaptive finite differences and IMEX time-stepping to price options under Bates model ⋮ Forward equations for option prices in semimartingale models ⋮ Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing ⋮ Stochastic approximation methods for American type options ⋮ A numerical method for pricing European options with proportional transaction costs ⋮ The primal-dual active set method for a class of nonlinear problems with \(T\)-monotone operators ⋮ Convergence of discontinuous Galerkin schemes for front propagation with obstacles ⋮ Stability and error analysis of operator splitting methods for American options under the Black-Scholes model ⋮ A mixed PDE/Monte-Carlo method for stochastic volatility models ⋮ Penalty method for indifference pricing of American option in a liquidity switching market ⋮ Uncertainty quantification and Heston model ⋮ Sharp error estimate for implicit finite element scheme for American put option ⋮ A semigroup approach to generalized Black-Scholes type equations in incomplete markets ⋮ Variationally consistent discretization schemes and numerical algorithms for contact problems ⋮ Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach ⋮ Path integral Monte Carlo method for option pricing ⋮ A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models ⋮ Numerical techniques for determining implied volatility in option pricing ⋮ PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS ⋮ Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization ⋮ FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION ⋮ Closed-form solutions via the invariant approach for one-factor commodity models ⋮ An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options ⋮ Least-Squares Proper Generalized Decompositions for Weakly Coercive Elliptic Problems ⋮ Unnamed Item ⋮ A penalty method for American multi-asset option problems ⋮ An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options ⋮ Error analysis of finite difference scheme for American option pricing under regime-switching with jumps ⋮ Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations ⋮ On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs ⋮ Efficient pricing and hedging of high-dimensional American options using deep recurrent networks ⋮ Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats ⋮ Mini-symposium on automatic differentiation and its applications in the financial industry ⋮ Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching ⋮ Dynamic programming for mean-field type control ⋮ Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model ⋮ Multiscale methods for the valuation of American options with stochastic volatility ⋮ A highly parallel Black–Scholes solver based on adaptive sparse grids ⋮ An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function ⋮ Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models ⋮ Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method ⋮ Unnamed Item ⋮ Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions ⋮ Introduction to vector quantization and its applications for numerics ⋮ A Componentwise Splitting Method for Pricing American Options Under the Bates Model ⋮ Pricing American options by exercise rate optimization ⋮ Error Estimates for Lagrange--Galerkin Approximation of American Options Valuation ⋮ Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements ⋮ Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients ⋮ On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance ⋮ Pricing European and American Options by SPH Method ⋮ Implied stopping rules for American basket options from Markovian projection ⋮ The algebraic properties of the space-and time-dependent one-factor model of commodities ⋮ A forward equation for barrier options under the Brunick & Shreve Markovian projection ⋮ Fast QMC Matrix-Vector Multiplication ⋮ Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions ⋮ Application of power series approximation techniques to valuation of European style options