Semi-implicit FEM for the valuation of American options under the Heston model
DOI10.1007/s40314-022-01764-yzbMath1499.91179OpenAlexW4212845678MaRDI QIDQ2115059
Qi Zhang, Haiming Song, Yongle Hao
Publication date: 15 March 2022
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-022-01764-y
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- Pricing American bond options using a penalty method
- A spectral-collocation method for pricing perpetual American puts with stochastic volatility
- Approximate basket options valuation for a jump-diffusion model
- A numerical analysis of variational valuation techniques for derivative securities
- Operator splitting methods for pricing American options under stochastic volatility
- Pricing American options using a space-time adaptive finite difference method
- Penalty methods for American options with stochastic volatility
- Using forward Monte-Carlo simulation for the valuation of American barrier options
- Operator splitting methods for American option pricing.
- PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution
- An efficient finite element method for pricing American multi-asset put options
- A new operator splitting method for American options under fractional Black-Scholes models
- Primal-dual active set method for pricing American better-of option on two assets
- Weak Galerkin finite element method for valuation of American options
- American option pricing under GARCH with non-normal innovations
- A finite difference method for pricing European and American options under a geometric Lévy process
- Finite Element and Discontinuous Galerkin Methods with Perfect Matched Layers for American Options
- Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility
- Multiscale methods for the valuation of American options with stochastic volatility
- Front-fixing FEMs for the pricing of American options based on a PML technique
- Application of the local radial basis function-based finite difference method for pricing American options
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Efficient numerical methods for pricing American options under stochastic volatility
- Perfectly matched layers for the heat and advection-diffusion equations
- Tools for computational finance
This page was built for publication: Semi-implicit FEM for the valuation of American options under the Heston model
