Article1999

Multigrid for American option pricing with stochastic volatility

208 citations0/0 files storedApplied Mathematical Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Advanced Numerical Methods in Computational Mathematics

Abstract

The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices and adaptive time-stepping.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 208 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application 1987Option values under stochastic volatility: Theory and empirical estimates 1997Monte Carlo methods for security pricing 1990Pricing foreign currency options with stochastic volatility 1990Variational inequalities and the pricing of American options 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis

Cited by

2007Efficient numerical methods for pricing American options under stochastic volatility 2009Operator splitting methods for pricing American options under stochastic volatility 2008Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model 2010Pricing American options under stochastic volatility and stochastic interest rates 2014An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.