An iterative splitting method for pricing European options under the Heston model

DOI10.1016/j.amc.2020.125424zbMath1474.65421arXiv2003.12934OpenAlexW3036756121MaRDI QIDQ2660110

Zhongyi Huang, Hongshan Li

Publication date: 29 March 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.12934

zbMATH Keywords

option pricingiterative methodoperator splittingHeston model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Unnamed Item ⋮ 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

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• The evaluation of barrier option prices under stochastic volatility
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
• Operator splitting methods for pricing American options under stochastic volatility
• Pricing contingent claims on stocks driven by Lévy processes
• Monte Carlo methods for security pricing
• PDE methods for pricing barrier options
• Diamond-cell finite volume scheme for the Heston model
• Time Changes for Lévy Processes
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• Stochastic Volatility for Lévy Processes
• 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
• Option pricing when underlying stock returns are discontinuous
• ADI finite difference schemes for option pricing in the Heston model with correlation

This page was built for publication: An iterative splitting method for pricing European options under the Heston model