Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
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Publication:1030223
DOI10.1016/j.amc.2009.02.060zbMath1173.91022OpenAlexW2050959818MaRDI QIDQ1030223
Publication date: 1 July 2009
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2009.02.060
Padé approximationAmerican optionsparabolic problem\(L\)-stable methodHeston's stochastic volatility model
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Related Items (6)
High-order time stepping scheme for pricing American option under Bates model ⋮ High-order full discretization for anisotropic wave equations ⋮ Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation ⋮ Accurate numerical method for pricing two-asset American put options ⋮ The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost ⋮ Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option
Cites Work
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- Exponential time differencing for stiff systems
- An implementation of the exponential time differencing scheme to the magnetohydrodynamic equations in a spherical shell
- Smoothing schemes for reaction-diffusion systems with nonsmooth data
- Semigroups of linear operators and applications to partial differential equations
- A parallel block cyclic reduction algorithm for the fast solution of elliptic equations
- Penalty methods for American options with stochastic volatility
- On multigrid for linear complementarity problems with application to American-style options
- Quadratic Convergence for Valuing American Options Using a Penalty Method
- On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
- Fourth-Order Time-Stepping for Stiff PDEs
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
- An Introduction to Financial Option Valuation
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