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

DOI10.1016/J.AMC.2011.03.110zbMATH Open1231.91482OpenAlexW2003028655MaRDI QIDQ547966FDOQ547966

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

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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)

Cites Work

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• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
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• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• Probability distribution of returns in the Heston model with stochastic volatility

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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