A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
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Publication:651445
DOI10.1016/J.CAMWA.2011.03.101zbMATH Open1228.91077OpenAlexW1965306587MaRDI QIDQ651445FDOQ651445
Authors: Song-Ping Zhu, Wen-Ting Chen 
Publication date: 18 December 2011
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2011.03.101
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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)
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Cited In (48)
- Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
- A high-order finite difference method for option valuation
- A spectral-collocation method for pricing perpetual American puts with stochastic volatility
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- A simple numerical method for pricing an American put option
- Pricing European call options under a hard-to-borrow stock model
- Exact and approximate solutions for options with time-dependent stochastic volatility
- An efficient numerical method for the valuation of American multi-asset options
- A comparative analysis of local meshless formulation for multi-asset option models
- An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
- A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme
- A comparative study on time-efficient methods to price compound options in the Heston model
- Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation
- An explicit closed-form analytical solution for European options under the CGMY model
- A robust numerical simulation of a fractional Black-Scholes equation for pricing American options
- Multiscale methods for the valuation of American options with stochastic volatility
- Optimal exercise of American puts with transaction costs under utility maximization
- A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
- Calibration of the double Heston model and an analytical formula in pricing American put option
- A new integral equation formulation for American put options
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- A quick operator splitting method for option pricing
- Pricing European options under stochastic looping contagion risk model
- Solving American option pricing models by the front fixing method: numerical analysis and computing
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- A Longstaff and Schwartz approach to the early election problem
- Predictor-corrector balance method for the worst-case 1D option pricing
- Pricing American call options under a hard-to-borrow stock model
- Localized radial basis functions for no-arbitrage pricing of options under stochastic alpha-beta-rho dynamics
- A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition
- A new analytical approximation for European puts with stochastic volatility
- A new predictor-corrector scheme for valuing American puts
- Pricing European options with stochastic volatility under the minimal entropy martingale measure
- Accurate numerical method for pricing two-asset American put options
- High order ADI splitting scheme for stochastic volatility model with jump
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- A HODIE finite difference scheme for pricing American options
- Stock loan valuation under a stochastic interest rate model
- American option pricing under the double Heston model based on asymptotic expansion
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
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