An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model

DOI10.4208/aamm.OA-2020-0317zbMath1488.65232MaRDI QIDQ5157093

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Publication date: 12 October 2021

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

zbMATH Keywords

sparse gridAmerican optionscombination techniqueADIHeston model

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) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

The Parareal Algorithm and the Sparse Grid Combination Technique in the Application of the Heston Model

Cites Work

• Unnamed Item
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• Application of Operator Splitting Methods in Finance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• ADI finite difference schemes for option pricing in the Heston model with correlation

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