Operator splitting methods for pricing American options under stochastic volatility

DOI10.1007/S00211-009-0227-5zbMATH Open1204.91126OpenAlexW2051583875MaRDI QIDQ841111FDOQ841111

Samuli Ikonen, Jari Toivanen

Publication date: 14 September 2009

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-009-0227-5

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Mathematics Subject Classification ID

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)

Cites Work

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Cited In (65)

• Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
• RBF–based IMEX finite difference schemes for pricing option under liquidity switching
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
• Numerical simulation on staggered grids of three-dimensional Brinkman-Forchheimer flow and heat transfer in porous media
• 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
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
• Optimal adaptation to uncertain climate change
• Analysis and application of a compact multistep ADI solver for a class of nonlinear viscous wave equations
• The Parareal Algorithm and the Sparse Grid Combination Technique in the Application of the Heston Model
• Numerical simulation of reaction-diffusion neural dynamics models and their synchronization/desynchronization: application to epileptic seizures
• Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models
• Semi-implicit FEM for the valuation of American options under the Heston model
• Linearized ADI schemes for two-dimensional space-fractional nonlinear Ginzburg-Landau equation
• Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
• Dynamical behavior of reaction-diffusion neural networks and their synchronization arising in modeling epileptic seizure: a numerical simulation study
• A robust spectral method for solving Heston's model
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
• A mixed derivative terms removing method in multi-asset option pricing problems
• Multiscale methods for the valuation of American options with stochastic volatility
• Operator splitting schemes for the two-asset Merton jump-diffusion model
• 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
• Radial basis function partition of unity operator splitting method for pricing multi-asset American options
• A quick operator splitting method for option pricing
• A finite volume–alternating direction implicit method for the valuation of American options under the Heston model
• Uniform convergence of compact and BDF methods for the space fractional semilinear delay reaction-diffusion equations
• A new operator splitting method for American options under fractional Black-Scholes models
• An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models
• AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS
• Accuracy improvement of a multistep splitting method for nonlinear viscous wave equations
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• Valuation of European Options Under an Uncertain Market Price of Volatility Risk
• Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
• Efficient numerical methods for pricing American options under stochastic volatility
• An iterative method for pricing American options under jump-diffusion models
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
• Adaptive finite differences and IMEX time-stepping to price options under Bates model
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
• Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
• Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
• Downside risk measurement in regime switching stochastic volatility
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements
• The Heston stochastic volatility model has a boundary trace at zero volatility
• The study of a fourth-order multistep ADI method applied to nonlinear delay reaction-diffusion equations
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• Accurate numerical method for pricing two-asset American put options
• ADI Schemes for Pricing American Options under the Heston Model
• From insurance risk to credit portfolio management: a new approach to pricing CDOs
• A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
• Operator splitting methods for American option pricing.
• An ADI Sparse Grid method for Pricing Efficiently 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
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
• Numerical Study of Splitting Methods for American Option Valuation
• A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities
• 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
• Title not available (Why is that?)
• Radial basis function generated finite differences for option pricing problems
• An iterative splitting method for pricing European options under the Heston model

Uses Software

• Wesseling

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