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Multigrid for American option pricing with stochastic volatility

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References

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2007Efficient numerical methods for pricing American options under stochastic volatility157 cited

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2009Operator splitting methods for pricing American options under stochastic volatility132 cited

2008Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model105 cited

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2009THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES77 cited

2011A predictor–corrector scheme based on the ADI method for pricing American puts with stochastic volatility70 cited

2012High-order compact finite difference scheme for option pricing in stochastic volatility models70 cited

2007COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY69 cited

2010The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach67 cited

2009A tree-based method to price American options in the Heston model60 cited

2007On coordinate transformation and grid stretching for sparse grid pricing of basket options51 cited

2012Finite-Element Methods46 cited

2009A Spectral Element Approximation to Price European Options with One Asset and Stochastic Volatility46 cited