High-order computational methods for option valuation under multifactor models
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References listed on IDEAS
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- Karakaya, Emrah, 2014. "Finite Element Model of the Innovation Diffusion: An Application to Photovoltaic Systems," INDEK Working Paper Series 2014/6, Royal Institute of Technology, Department of Industrial Economics and Management.
- Kim, Junseok & Kim, Taekkeun & Jo, Jaehyun & Choi, Yongho & Lee, Seunggyu & Hwang, Hyeongseok & Yoo, Minhyun & Jeong, Darae, 2016. "A practical finite difference method for the three-dimensional Black–Scholes equation," European Journal of Operational Research, Elsevier, vol. 252(1), pages 183-190.
- Karakaya, Emrah, 2016. "Finite Element Method for forecasting the diffusion of photovoltaic systems: Why and how?," Applied Energy, Elsevier, vol. 163(C), pages 464-475.
- Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2015. "Commodity derivatives pricing with cointegration and stochastic covariances," European Journal of Operational Research, Elsevier, vol. 246(2), pages 476-486.
- Sesana, Debora & Marazzina, Daniele & Fusai, Gianluca, 2014. "Pricing exotic derivatives exploiting structure," European Journal of Operational Research, Elsevier, vol. 236(1), pages 369-381.
- Rafael Company & Vera Egorova & Lucas J'odar & Fazlollah Soleymani, 2017. "Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach," Papers 1701.08545, arXiv.org.
More about this item
KeywordsFinance; American options; Galerkin discretization; Exponential time integration; Stochastic volatility model;
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