Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.

DOI10.1016/S0168-9274(00)00018-0zbMath1072.91578OpenAlexW2074451409MaRDI QIDQ5931564

Kenneth Vetzal, Peter A. I. Forsyth

Publication date: 2001

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0168-9274(00)00018-0

zbMATH Keywords

option pricingimplicit methodnonlinear PDE

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) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Penalty and penalty-like methods for nonlinear HJB PDEs ⋮ A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion ⋮ Vulnerable options pricing under uncertain volatility model ⋮ On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations ⋮ Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations ⋮ Numerical Methods and Volatility Models for Valuing Cliquet Options

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• 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

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