Efficient numerical methods for pricing American options under stochastic volatility
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Publication:5438239
finite difference methodlinear complementarity problempenalty methodoperator splitting methodstochastic volatility modelmultigrid methodAmerican option pricing
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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Cites work
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- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- Optimization and nonsmooth analysis
- Parabolic variational inequalities: the Lagrange multiplier approach
- Tools for computational finance
Cited in
(80)- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- Numerical methods for pricing American options with time-fractional PDE models
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
- Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
- Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
- American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- Semi-implicit FEM for the valuation of American options under the Heston model
- scientific article; zbMATH DE number 2107023 (Why is no real title available?)
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- A fixed point method for the linear complementarity problem arising from American option pricing
- Multigrid for American option pricing with stochastic volatility
- ADI schemes for valuing European options under the Bates model
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- An efficient and provable sequential quadratic programming method for American and swing option pricing
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- ADI schemes for pricing American options under the Heston model
- High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- Modulus-based successive overrelaxation method for pricing American options
- On the solution of complementarity problems arising in American options pricing
- Multiscale methods for the valuation of American options with stochastic volatility
- CTMC integral equation method for American options under stochastic local volatility models
- Valuing switching options with the moving-boundary method
- High-order compact finite difference scheme for option pricing in stochastic volatility models
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
- A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
- American option pricing under stochastic volatility: an empirical evaluation
- Operator splitting methods for pricing American options under stochastic volatility
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Boundary evolution equations for American options
- \(hp\)-adaptive IPDG/TDG-FEM for parabolic obstacle problems
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
- Pricing real estate index options under stochastic interest rates
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- On the acceleration of explicit finite difference methods for option pricing
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
- Positive numerical splitting method for the Hull and White 2D Black-Scholes equation
- HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Pricing European and American options by radial basis point interpolation
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
- Mixing LSMC and PDE methods to price Bermudan options
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- On the stability of a compact finite difference scheme for option pricing
- Pricing American call options under a hard-to-borrow stock model
- Approximating stochastic volatility by recombinant trees
- High-order ADI scheme for option pricing in stochastic volatility models
- LSV models with stochastic interest rates and correlated jumps
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- A spectral element approximation to price European options with one asset and stochastic volatility
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach
- Accurate numerical method for pricing two-asset American put options
- Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
- American options in the Heston model with stochastic interest rate and its generalizations
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
- A componentwise splitting method for pricing American options under the Bates model
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- An implied volatility model determined by credit default swaps
- High order ADI splitting scheme for stochastic volatility model with jump
- A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
- Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
- Projected triangular decomposition methods for pricing American options under stochastic volatility model
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility
- A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- A fast numerical method to price American options under the Bates model
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Reduced basis methods for pricing options with the Black-Scholes and Heston models
- American option pricing under the double Heston model based on asymptotic expansion
- scientific article; zbMATH DE number 5710731 (Why is no real title available?)
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