Efficient numerical methods for pricing American options under stochastic volatility

DOI10.1002/NUM.20239zbMATH Open1152.91516OpenAlexW2003360807MaRDI QIDQ5438239FDOQ5438239

Authors: Samuli Ikonen, Jari Toivanen 

Publication date: 23 January 2008

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.20239

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zbMATH Keywords

finite difference methodlinear complementarity problempenalty methodoperator splitting methodstochastic volatility modelmultigrid methodAmerican option pricing

Mathematics Subject Classification ID

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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• On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
• Tools for computational finance

Cited In (80)

• Numerical methods for pricing American options with time-fractional PDE models
• Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
• 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
• Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston 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
• Multigrid for American option pricing with stochastic volatility
• A fixed point method for the linear complementarity problem arising from American option pricing
• ADI schemes for valuing European options under the Bates model
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
• ADI schemes for pricing American options under the Heston model
• Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
• Modulus-based successive overrelaxation method for pricing American options
• Multiscale methods for the valuation of American options with stochastic volatility
• On the solution of complementarity problems arising in American options pricing
• A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
• High-order compact finite difference scheme for option pricing in stochastic volatility models
• American option pricing under stochastic volatility: an empirical evaluation
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• 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
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• On the acceleration of explicit finite difference methods for option pricing
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• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Adaptive finite differences and IMEX time-stepping to price options under Bates model
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
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• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
• Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
• 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
• High-order ADI scheme for option pricing in stochastic volatility models
• Approximating stochastic volatility by recombinant trees
• 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
• American options in the Heston model with stochastic interest rate and its generalizations
• Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
• A componentwise splitting method for pricing American options under the Bates model
• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
• An implied volatility model determined by credit default swaps
• A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
• 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
• 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 fast numerical method to price American options under the Bates model
• American option pricing under the double Heston model based on asymptotic expansion
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
• A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
• Title not available (Why is that?)
• An efficient and provable sequential quadratic programming method for American and swing option pricing
• 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
• CTMC integral equation method for American options under stochastic local volatility models
• Valuing switching options with the moving-boundary method
• An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
• PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
• Positive numerical splitting method for the Hull and White 2D Black-Scholes equation
• Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
• HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
• Mixing LSMC and PDE methods to price Bermudan options
• LSV models with stochastic interest rates and correlated jumps
• High order ADI splitting scheme for stochastic volatility model with jump
• Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
• A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
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