Operator splitting methods for pricing American options under stochastic volatility
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for variational inequalities and related problems (65K15) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)
Recommendations
- scientific article; zbMATH DE number 5346999
- Operator splitting methods for American option pricing.
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
- A new operator splitting method for American options under fractional Black-Scholes models
- Radial-basis-function-based finite difference operator splitting method for pricing American options
- A quick operator splitting method for option pricing
- Numerical Study of Splitting Methods for American Option Valuation
- American option pricing under stochastic volatility: an efficient numerical approach
Cites work
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Efficient numerical methods for pricing American options under stochastic volatility
- Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
- Multigrid for American option pricing with stochastic volatility
- On multigrid for linear complementarity problems with application to American-style options
- Operator splitting methods for American option pricing.
- Penalty methods for American options with stochastic volatility
- Quadratic convergence for valuing American options using a penalty method
- Splitting Algorithms for the Sum of Two Nonlinear Operators
- The Mathematics of Financial Derivatives
- The pricing of options and corporate liabilities
- The pricing of options on assets with stochastic volatilities
- Two New Finite Difference Schemes for Parabolic Equations
Cited in
(67)- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
- Accurate numerical method for pricing two-asset American put options
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- An implied volatility model determined by credit default swaps
- The study of a fourth-order multistep ADI method applied to nonlinear delay reaction-diffusion equations
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- Semi-implicit FEM for the valuation of American options under the Heston model
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
- Reduced basis methods for pricing options with the Black-Scholes and Heston models
- A mixed derivative terms removing method in multi-asset option pricing problems
- Operator splitting methods for American option pricing.
- Numerical Study of Splitting Methods for American Option Valuation
- Optimal adaptation to uncertain climate change
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
- Application of operator splitting methods in finance
- A quick operator splitting method for option pricing
- Downside risk measurement in regime switching stochastic volatility
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities
- ADI schemes for pricing American options under the Heston model
- The Parareal Algorithm and the Sparse Grid Combination Technique in the Application of the Heston Model
- A finite volume-alternating direction implicit method for the valuation of American options under the Heston 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
- From insurance risk to credit portfolio management: a new approach to pricing CDOs
- On multistep stabilizing correction splitting methods with applications to the Heston model
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- scientific article; zbMATH DE number 5346999 (Why is no real title available?)
- Numerical simulation of reaction-diffusion neural dynamics models and their synchronization/desynchronization: application to epileptic seizures
- A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
- A new operator splitting method for American options under fractional Black-Scholes models
- Calibration of the double Heston model and an analytical formula in pricing American put option
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- An ADI sparse grid method for pricing efficiently American options under the Heston model
- An iterative method for pricing American options under jump-diffusion models
- Radial basis function partition of unity operator splitting method for pricing multi-asset American options
- The Heston stochastic volatility model has a boundary trace at zero volatility
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- American option pricing under the double Heston model based on asymptotic expansion
- Uniform convergence of compact and BDF methods for the space fractional semilinear delay reaction-diffusion equations
- Radial basis function generated finite differences for option pricing problems
- Linearized ADI schemes for two-dimensional space-fractional nonlinear Ginzburg-Landau equation
- Efficient numerical methods for pricing American options under stochastic volatility
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Accuracy improvement of a multistep splitting method for nonlinear viscous wave equations
- Analysis and application of a compact multistep ADI solver for a class of nonlinear viscous wave equations
- Multiscale methods for the valuation of American options with stochastic volatility
- Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
- A robust spectral method for solving Heston's model
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- Dynamical behavior of reaction-diffusion neural networks and their synchronization arising in modeling epileptic seizure: a numerical simulation study
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
- An iterative splitting method for pricing European options under the Heston model
- RBF–based IMEX finite difference schemes for pricing option under liquidity switching
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
- Second-order efficient algorithm for coupled nonlinear model of groundwater transport system
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
- Numerical simulation on staggered grids of three-dimensional Brinkman-Forchheimer flow and heat transfer in porous media
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