Multigrid for American option pricing with stochastic volatility
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References listed on IDEAS
- Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992. "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 153-187.
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- Golbabai, A. & Ballestra, L.V. & Ahmadian, D., 2013. "Superconvergence of the finite element solutions of the Black–Scholes equation," Finance Research Letters, Elsevier, vol. 10(1), pages 17-26.
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"The Evaluation Of American Option Prices Under Stochastic Volatility And Jump-Diffusion Dynamics Using The Method Of Lines,"
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- Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2008. "The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines," Research Paper Series 219, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Rambeerich, N. & Tangman, D.Y. & Lollchund, M.R. & Bhuruth, M., 2013. "High-order computational methods for option valuation under multifactor models," European Journal of Operational Research, Elsevier, vol. 224(1), pages 219-226.
- Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
- Kenji Hamatani & Masao Fukushima, 2011. "Pricing American options with uncertain volatility through stochastic linear complementarity models," Computational Optimization and Applications, Springer, vol. 50(2), pages 263-286, October.
- Ballestra, Luca Vincenzo & Pacelli, Graziella, 2013. "Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach," Journal of Economic Dynamics and Control, Elsevier, vol. 37(6), pages 1142-1167.
More about this item
KeywordsAmerican Option Pricing; Stochastic Volatility; Finite Difference Method; Multigrid; Strike-price Related Transformation; Adaptive Time-stepping;
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