A comparative study on time-efficient methods to price compound options in the Heston model

DOI10.1016/J.CAMWA.2014.01.008zbMath1386.91161OpenAlexW2087527013MaRDI QIDQ316625

Boda Kang, Carl Chiarella, Susanne A. Griebsch

Publication date: 27 September 2016

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2014.01.008

zbMATH Keywords

parallel computingcomputational techniquesHeston modelEuropean compound option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05)

Related Items (3)

A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework ⋮ The evaluation of compound options based on RBF approximation methods ⋮ A simple method for generalized sequential compound options pricing

Cites Work

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