A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility

DOI10.1080/00207160.2012.658379zbMath1255.91432OpenAlexW2083008884MaRDI QIDQ4903539

Zhongdi Cen, Aimin Xu, Anbo Le

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.658379

zbMATH Keywords

linear complementarity problemAmerican optionstochastic volatility modelmixed derivativesupwind difference scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

Related Items (2)

Accurate numerical method for pricing two-asset American put options ⋮ Unnamed Item

Cites Work

• The Pricing of Options and Corporate Liabilities
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Operator splitting methods for pricing American options under stochastic volatility
• On the error estimate of finite difference method for the obstacle problem
• Penalty methods for American options with stochastic volatility
• A uniqueness theorem for the generalized-order linear complementary problem associated with \(M\)-matrices
• Far Field Boundary Conditions for Black--Scholes Equations
• Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
• Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• Multigrid for American option pricing with stochastic volatility
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Efficient numerical methods for pricing American options under stochastic volatility

This page was built for publication: A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility