ADI Schemes for Pricing American Options under the Heston Model

Citations

Cited by:

1. Kathrin Glau & Mirco Mahlstedt & Christian Potz, 2018. "A new approach for American option pricing: The Dynamic Chebyshev method," Papers 1806.05579, arXiv.org.
2. Yiannis A. Papadopoulos & Alan L. Lewis, 2018. "A First Option Calibration of the GARCH Diffusion Model by a PDE Method," Papers 1801.06141, arXiv.org.
3. Purba Banerjee & Vasudeva Murthy & Shashi Jain, 2024. "Method of Lines for Valuation and Sensitivities of Bermudan Options," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 245-270, January.
4. M. Khasi & J. Rashidinia, 2024. "A Bilinear Pseudo-spectral Method for Solving Two-asset European and American Pricing Options," Computational Economics, Springer;Society for Computational Economics, vol. 63(2), pages 893-918, February.
5. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019.
6. Slobodan Milovanovi'c, 2018. "Pricing Financial Derivatives using Radial Basis Function generated Finite Differences with Polyharmonic Splines on Smoothly Varying Node Layouts," Papers 1808.02365, arXiv.org, revised Aug 2018.
7. Karel in 't Hout & Radoslav Valkov, 2016. "Numerical study of splitting methods for American option valuation," Papers 1610.09622, arXiv.org.
8. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Applied Mathematics and Computation, Elsevier, vol. 408(C).
   • Kristoffer Andersson & Cornelis Oosterlee, 2020. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Papers 2003.01977, arXiv.org, revised Sep 2020.
9. Maryam Safaei & Abodolsadeh Neisy & Nader Nematollahi, 2018. "New Splitting Scheme for Pricing American Options Under the Heston Model," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 405-420, August.
10. Tber, Moulay Hicham, 2023. "A semi-Lagrangian mixed finite element method for advection–diffusion variational inequalities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 204(C), pages 202-215.
11. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "Deep learning for CVA computations of large portfolios of financial derivatives," Applied Mathematics and Computation, Elsevier, vol. 409(C).
    • Kristoffer Andersson & Cornelis W. Oosterlee, 2020. "Deep learning for CVA computations of large portfolios of financial derivatives," Papers 2010.13843, arXiv.org.
12. Maciej Balajewicz & Jari Toivanen, 2016. "Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models," Papers 1612.00402, arXiv.org.
13. Karel in 't Hout & Jacob Snoeijer, 2021. "Numerical valuation of American basket options via partial differential complementarity problems," Papers 2106.01200, arXiv.org.
14. Kim, See-Woo & Kim, Jeong-Hoon, 2018. "Analytic solutions for variance swaps with double-mean-reverting volatility," Chaos, Solitons & Fractals, Elsevier, vol. 114(C), pages 130-144.
15. Kozpınar, Sinem & Uzunca, Murat & Karasözen, Bülent, 2020. "Pricing European and American options under Heston model using discontinuous Galerkin finite elements," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 568-587.
16. Kathrin Glau & Daniel Kressner & Francesco Statti, 2019. "Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing," Papers 1902.04367, arXiv.org.
17. Kyungsub Lee & Byoung Ki Seo, 2017. "Performance of Tail Hedged Portfolio with Third Moment Variation Swap," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 447-471, October.
    • Kyungsub Lee & Byoung Ki Seo, 2019. "Performance of tail hedged portfolio with third moment variation swap," Papers 1908.05105, arXiv.org.
18. Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016. "Efficient exposure computation by risk factor decomposition," Papers 1608.01197, arXiv.org, revised Feb 2018.
19. Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018. "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series 394, Quantitative Finance Research Centre, University of Technology, Sydney.
20. Karel in 't Hout & Jari Toivanen, 2015. "Application of Operator Splitting Methods in Finance," Papers 1504.01022, arXiv.org.
21. Reza Mollapourasl & Ali Fereshtian & Michèle Vanmaele, 2019. "Radial Basis Functions with Partition of Unity Method for American Options with Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 259-287, January.
22. Karel J. in’t Hout & Jacob Snoeijer, 2021. "Numerical Valuation of American Basket Options via Partial Differential Complementarity Problems," Mathematics, MDPI, vol. 9(13), pages 1-17, June.
23. Lynn Boen & Karel J. in 't Hout, 2019. "Operator splitting schemes for American options under the two-asset Merton jump-diffusion model," Papers 1912.06809, arXiv.org.
24. Purba Banerjee & Vasudeva Murthy & Shashi Jain, 2021. "Method of lines for valuation and sensitivities of Bermudan options," Papers 2112.01287, arXiv.org.
25. Yangyang Zhuang & Pan Tang, 2023. "Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1469-1496, October.
26. Mishra, Chittaranjan, 2016. "A new stability result for the modified Craig–Sneyd scheme applied to two-dimensional convection–diffusion equations with mixed derivatives," Applied Mathematics and Computation, Elsevier, vol. 285(C), pages 41-50.