Efficient numerical methods for pricing American options under stochastic volatility

@inproceedings{Ikonen2008EfficientNM,
  title={Efficient numerical methods for pricing American options under stochastic volatility},
  author={Samuli Ikonen and Jari Toivanen},
  year={2008}
}
Five numerical methods for pricing American put options under Heston's stochastic volatility model are described and compared. The option prices are obtained as the solution of a two-dimensional parabolic partial differential inequality. A finite difference discretization on nonuniform grids leading to linear complementarity problems with M-matrices is proposed. The projected SOR, a projected multigrid method, an operator splitting method, a penalty method, and a componentwise splitting method… CONTINUE READING
BETA

Similar Papers

Figures and Tables from this paper.

Citations

Publications citing this paper.
SHOWING 1-10 OF 67 CITATIONS

LSV models with stochastic interest rates and correlated jumps

  • Int. J. Comput. Math.
  • 2015
VIEW 4 EXCERPTS
CITES BACKGROUND
HIGHLY INFLUENCED

Valuation of American Options with Meshfree Methods

VIEW 8 EXCERPTS
CITES METHODS, BACKGROUND & RESULTS
HIGHLY INFLUENCED

FILTER CITATIONS BY YEAR

2007
2019

CITATION STATISTICS

  • 6 Highly Influenced Citations