A spectral-collocation method for pricing perpetual American puts with stochastic volatility

DOI10.1016/J.AMC.2011.03.110MaRDI QIDQ547966zbMATH OpenOpenAlexFDO

Authors Song-Ping Zhu, Wen-Ting Chen

Publication date 27 June 2011

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://ro.uow.edu.au/infopapers/1751

zbMATH Keywords

Heston modelspectral-collocation methodperpetual American put options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)

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Cites work

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• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Heat conduction in a melting solid
• Multigrid for American option pricing with stochastic volatility
• Option pricing: A simplified approach
• Probability distribution of returns in the Heston model with stochastic volatility
• Randomization and the American put
• Some mathematical results in the pricing of American options
• Spectral and high-order methods with applications.
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
• Two singular diffusion problems

Cited in

(5)

• SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
• Semi-implicit FEM for the valuation of American options under the Heston model
• A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
• Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
• High order ADI splitting scheme for stochastic volatility model with jump

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