Pricing American options using a space-time adaptive finite difference method

DOI10.1016/j.matcom.2010.02.008zbMath1193.91156OpenAlexW2035276996MaRDI QIDQ982922

Jonas Persson, Lina von Sydow

Publication date: 28 July 2010

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.02.008

zbMATH Keywords

finite difference methodstochastic volatilityadaptive methodAmerican optionlocal time-stepping

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (16)

Pricing of Basket Options Using Dimension Reduction and Adaptive Finite Differences in Space, and Discontinuous Galerkin in Time ⋮ Pricing real estate index options under stochastic interest rates ⋮ Efficient numerical pricing of American options based on multiple shooting method: a PDE approach ⋮ A high order method for pricing of financial derivatives using radial basis function generated finite differences ⋮ A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications ⋮ Multiscale methods for the valuation of American options with stochastic volatility ⋮ A highly parallel Black–Scholes solver based on adaptive sparse grids ⋮ Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method ⋮ A multigrid preconditioner for an adaptive Black-Scholes solver ⋮ ADI Schemes for Pricing American Options under the Heston Model ⋮ BENCHOP – The BENCHmarking project in option pricing ⋮ Adaptive finite differences and IMEX time-stepping to price options under Bates model ⋮ A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities ⋮ An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs ⋮ Semi-implicit FEM for the valuation of American options under the Heston model ⋮ A finite volume–alternating direction implicit method for the valuation of American options under the Heston model

Uses Software

• RODAS

Cites Work

• The Pricing of Options and Corporate Liabilities
• Penalty methods for American options with stochastic volatility
• Monte Carlo methods for security pricing
• On multigrid for linear complementarity problems with application to American-style options
• Operator splitting methods for American option pricing.
• Space-time adaptive finite difference method for European multi-asset options
• Solving Ordinary Differential Equations I
• Multigrid for American option pricing with stochastic volatility
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• Computational Methods for Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Multivariate Stochastic Volatility: A Review
• A highly accurate adaptive finite difference solver for the Black–Scholes equation
• Tools for computational finance.
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