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International Journal of Computer Mathematics Volume 89, 2012 - Issue 9: COMPUTATIONAL METHODS FOR PDEs IN FINANCE
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Section B

Multiscale methods for the valuation of American options with stochastic volatility

Angela Kunoth Institut für Mathematik, Universität Paderborn, Warburger Str. 100, 33098, Paderborn, GermanyCorrespondence[email protected]
,
Christian Schneider Institut für Mathematik, Universität Paderborn, Warburger Str. 100, 33098, Paderborn, Germany
&
Katharina Wiechers Institut für Mathematik, Universität Paderborn, Warburger Str. 100, 33098, Paderborn, Germany
Pages 1145-1163 | Received 23 Sep 2011, Accepted 27 Feb 2012, Published online: 24 Apr 2012

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Read on this site (3)

Bartosz Jaroszkowski & Max Jensen. (2022) Valuation of European Options Under an Uncertain Market Price of Volatility Risk. Applied Mathematical Finance 29:3, pages 213-226.
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Sumei Zhang & Jianke Zhang. (2020) Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate. International Journal of Computer Mathematics 97:3, pages 546-563.
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S. M. Zhang & Y. Feng. (2019) American option pricing under the double Heston model based on asymptotic expansion. Quantitative Finance 19:2, pages 211-226.
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Articles from other publishers (9)

Farshid Mehrdoust, Idin Noorani & Abdelouahed Hamdi. (2023) Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. Mathematics and Computers in Simulation 204, pages 660-678.
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Qi Zhang, Haiming Song & Yongle Hao. (2022) Semi-implicit FEM for the valuation of American options under the Heston model. Computational and Applied Mathematics 41:2.
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Farshid Mehrdoust, Idin Noorani & Abdelouahed Hamdi. (2021) Calibration of the double Heston model and an analytical formula in pricing American put option. Journal of Computational and Applied Mathematics 392, pages 113422.
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Sinem Kozpınar, Murat Uzunca & Bülent Karasözen. (2020) Pricing European and American options under Heston model using discontinuous Galerkin finite elements. Mathematics and Computers in Simulation 177, pages 568-587.
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Sumei Zhang. (2018) An efficient pricing algorithm for American options with double stochastic volatilities and double jumps. Journal of Algorithms & Computational Technology 13, pages 174830181879706.
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Wansheng Wang, Yingzi Chen & Hua Fang. (2019) On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance. SIAM Journal on Numerical Analysis 57:3, pages 1289-1317.
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Reza Mollapourasl, Ali Fereshtian & Michèle Vanmaele. (2017) Radial Basis Functions with Partition of Unity Method for American Options with Stochastic Volatility. Computational Economics 53:1, pages 259-287.
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O. Burkovska, B. Haasdonk, J. Salomon & B. Wohlmuth. (2015) Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models. SIAM Journal on Financial Mathematics 6:1, pages 685-712.
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Angela Kunoth. 2015. Isogeometric Analysis and Applications 2014. Isogeometric Analysis and Applications 2014 247 281 .

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