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High-order computational methods for option valuation under multifactor models · Study

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ArticleHigh-order computational methods for option valuation under multifactor models

Nisha Rambeerich2012

Article2012

High-order computational methods for option valuation under multifactor models

Nisha Rambeerich · Désiré Yannick Tangman · Michel Roddy Lollchund · Muddun Bhuruth

31 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Numerical methods for differential equations

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2010Merton, Robert C.1998Penalty methods for American options with stochastic volatility 1999Multigrid for American option pricing with stochastic volatility

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2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?2015A practical finite difference method for the three-dimensional Black–Scholes equation 2013Pricing exotic derivatives exploiting structure

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2012Finite-Element Methodschapter · 9 shared references 2017Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov–Galerkin methodarticle · 9 shared references 2014An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumpsarticle · 8 shared references 2013Iterative Methods for Pricing American Options under the Bates Modelother · 8 shared references 2012High-order compact finite difference scheme for option pricing in stochastic volatility modelsarticle · 7 shared references 2010The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approacharticle · 7 shared references

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Year2012

Typearticle

Published2012-07-31

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2012.07.023

openalex_workW2007746644

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