Multiscale methods for the valuation of American options with stochastic volatility

DOI10.1080/00207160.2012.672732zbMath1255.91307OpenAlexW2163282685MaRDI QIDQ4903541

Angela Kunoth, Katharina Wiechers, Christian Schneider

Publication date: 22 January 2013

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

Full work available at URL: http://hdl.handle.net/11299/181132

zbMATH Keywords

American option pricingfree boundaryparabolic boundary value problemmultigrid efficiencyHeston's modelmonotone multigrid methodstochastic volatiliy

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Unilateral problems for linear elliptic equations and variational inequalities with linear elliptic operators (35J86)

Related Items (9)

Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models ⋮ Pricing European and American options under Heston model using discontinuous Galerkin finite elements ⋮ Calibration of the double Heston model and an analytical formula in pricing American put option ⋮ On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance ⋮ American option pricing under the double Heston model based on asymptotic expansion ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm ⋮ Semi-implicit FEM for the valuation of American options under the Heston model ⋮ Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate ⋮ Valuation of European Options Under an Uncertain Market Price of Volatility Risk

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