Componentwise Splitting Methods For Pricing American Options Under Stochastic Volatility
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DOI: 10.1142/S0219024907004202
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- Wilmott,Paul & Howison,Sam & Dewynne,Jeff, 1995. "The Mathematics of Financial Derivatives," Cambridge Books, Cambridge University Press, number 9780521497893, October.
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Cited by:
- Oleksandr Zhylyevskyy, 2010.
"A fast Fourier transform technique for pricing American options under stochastic volatility,"
Review of Derivatives Research, Springer, vol. 13(1), pages 1-24, April.
- Zhylyevskyy, Oleksandr, 2009. "A Fast Fourier Transform Technique for Pricing American Options Under Stochastic Volatility," Staff General Research Papers Archive 13112, Iowa State University, Department of Economics.
- Andrey Itkin, 2015. "LSV models with stochastic interest rates and correlated jumps," Papers 1511.01460, arXiv.org, revised Nov 2016.
- Chan, Tat Lung (Ron), 2019. "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Tinne Haentjens & Karel in 't Hout, 2013. "ADI schemes for pricing American options under the Heston model," Papers 1309.0110, arXiv.org.
- Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2009.
"The Evaluation Of American Option Prices Under Stochastic Volatility And Jump-Diffusion Dynamics Using The Method Of Lines,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 393-425.
- Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2008. "The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines," Research Paper Series 219, Quantitative Finance Research Centre, University of Technology, Sydney.
- Maryam Safaei & Abodolsadeh Neisy & Nader Nematollahi, 2018. "New Splitting Scheme for Pricing American Options Under the Heston Model," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 405-420, August.
- Andrey Itkin, 2015.
"HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-24.
- Andrey Itkin, 2014. "High-Order Splitting Methods for Forward PDEs and PIDEs," Papers 1403.1804, arXiv.org.
- Karel in 't Hout & Jari Toivanen, 2015. "Application of Operator Splitting Methods in Finance," Papers 1504.01022, arXiv.org.
- Andrey Itkin & Dmitry Muravey, 2023. "American options in time-dependent one-factor models: Semi-analytic pricing, numerical methods and ML support," Papers 2307.13870, arXiv.org.
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Keywords
American option pricing; stochastic volatility model; linear complementarity problem; componentwise splitting method; Strang symmetrization;All these keywords.
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