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COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

https://doi.org/10.1142/s0219024907004202
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Pricing Financial Instruments
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Options, Futures and Other Derivatives
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Solving Ordinary Differential Equations II: Stiff and Differential - Algebraic Problems
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Tools for Computational Finance
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M-matrices in Numerical Analysis
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Variational inequalities and the pricing of American options
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Finite element solution of diffusion problems with irregular data
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Alternating direction methods for parabolic equations in two and three space dimensions with mixed derivatives
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On multigrid for anisotropic equations and variational inequalities “Pricing multi-dimensional European and American options”
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Accurate and efficient pricing of vanilla stock options via the Crandall–Douglas scheme
inferredcites →https://doi.org/10.1016/s0377-0427(98)00037-5openalex-snapshot
Penalty methods for American options with stochastic volatility
inferredcites →https://doi.org/10.1016/s1570-8659(03)09003-3openalex-snapshot
Finite element methods for incompressible viscous flow
inferredcites →https://doi.org/10.1016/s1570-8659(05)80035-3openalex-snapshot
Splitting and alternating direction methods
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Handbook of Numerical Analysis
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The Mathematics of Financial Derivatives
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Multigrid for American option pricing with stochastic volatility
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The Pricing of Options and Corporate Liabilities
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On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
inferredcites →https://doi.org/10.1093/comjnl/13.1.81openalex-snapshot
Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1111/j.1540-6261.1977.tb03284.xopenalex-snapshot
THE VALUATION OF AMERICAN PUT OPTIONS
inferredcites →https://doi.org/10.1137/0103003openalex-snapshot
The Numerical Solution of Parabolic and Elliptic Differential Equations
inferredcites →https://doi.org/10.1137/0309028openalex-snapshot
The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
inferredcites →https://doi.org/10.1137/0705041openalex-snapshot
On the Construction and Comparison of Difference Schemes
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Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
inferredcites →https://doi.org/10.1137/s1064827500382324openalex-snapshot
Quadratic Convergence for Valuing American Options Using a Penalty Method
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Minkowski matrices.
inferredcites →https://doi.org/10.1145/357456.357459openalex-snapshot
The efficient solution of linear complementarity problems for tridiagonal Minkowski matrices
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Research Notes in Mathematics
inferredcites →https://doi.org/10.1287/moor.27.1.121.341openalex-snapshot
Parabolic ADI Methods for Pricing American Options on Two Stocks
inferredcites →https://doi.org/10.21314/jcf.2003.096openalex-snapshot
Negative coefficients in two-factor option pricing models
inferredcites →https://doi.org/10.21314/jcf.2003.101openalex-snapshot
Convergence remedies for non-smooth payoffs in option pricing
inferredcites →https://doi.org/10.2307/2326779openalex-snapshot
The Valuation of American Put Options
inferredcites →https://doi.org/10.23874/amber/2016/v7/i1/121351openalex-snapshot
“Options, Futures, and Other Derivatives”

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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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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Valuing Options in Heston's Stochastic Volatility Model: Another Analytical Approach
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An Orthogonal Series Expansions Method to Hedge and Price European-Type Options
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Finite Difference Methods for Early Exercise Options
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A High‐Order Operator‐Splitting Method for Solving Time‐Fractional American Option Pricing
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Efficient numerical methods for pricing American options under stochastic volatility
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An Operator Splitting Method for Pricing American Options
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Stochastic Skew Model
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An M-Matrix Theory and FD
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High-Order Splitting Methods for Forward PDEs and PIDEs
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Application of Operator Splitting Methods in Finance
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A Componentwise Splitting Method for Pricing American Options Under the Bates Model
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A fixed point method for the linear complementarity problem arising from american option pricing
inferred← citeshttps://doi.org/10.1007/s10614-017-9686-4openalex-snapshot
New Splitting Scheme for Pricing American Options Under the Heston Model
inferred← citeshttps://doi.org/10.1007/s10915-020-01137-9openalex-snapshot
Stability and Error Analysis of Operator Splitting Methods for American Options Under the Black–Scholes Model
inferred← citeshttps://doi.org/10.1007/s11147-009-9041-6openalex-snapshot
A fast Fourier transform technique for pricing American options under stochastic volatility
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Computational Methods for Derivatives with Early Exercise Features
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A comparative study on time-efficient methods to price compound options in the Heston model
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A new operator splitting method for American options under fractional Black–Scholes models
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Iterative Methods for Pricing American Options under the Bates Model
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Adaptive finite differences and IMEX time-stepping to price options under Bates model
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LSV models with stochastic interest rates and correlated jumps
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A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme
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ADI Schemes for Pricing American Options under the Heston Model
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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
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BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS
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Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility
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An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
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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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ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL
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PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS
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HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
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