Samuli Ikonen, Jari Toivanen  Home/Search
Context
Related
| mit.jyu.fi/tene/pape...reportB0705.pdf Cached: PS.gz PS PDF This document uses CoBlitz to cache paper downloads. If your firewall is blocking outgoing connections to port 3125, you can use these links to download local copies.
Image Update HelpPS.gz PS PDF From: mit.jyu.fi/tene/papers/index (more) (Enter author homepages) |
Rate this article:      (best)Comment on this article |
Abstract: E#cient numerical methods for pricing American options using Heston's stochastic volatility model is proposed. Based on this model the price of a European option can be obtained by solving a two-dimensional parabolic partial di#erential equation. For an American option the early exercise possibility leads to a lower bound for the price of the option. This price can be computed by solving a linear complementarity problem. (Update)
Active bibliography (related documents): More All
2.0: Reports of the Department of Mathematical Information.. - Series Scientific.. (Correct)
1.7: Pricing American Options Using LU Decomposition - Ikonen, Toivanen (2004) (Correct)
1.5: Operator Splitting Methods for Pricing American Options with .. - Ikonen, Toivanen (2004) (Correct)
Similar documents based on text: More All
0.3: A Parallel Fictitious Domain Method for the.. - Heikkola, Rossi.. (1999) (Correct)
0.2: A Penalty Method for American Options with Jump Diffusion .. - d'Halluin, Forsyth.. (2003) (Correct)
0.2: Pricing American options under spectrally negative.. - Avram, Chan, Usabel (2000) (Correct)
BibTeX entry: (Update)
@misc{ ikonen-componentwise,
author = "Samuli Ikonen and Jari Toivanen",
title = "Componentwise Splitting Methods for Pricing American Options under Stochastic
Volatility",
url = "citeseer.ist.psu.edu/ikonen05componentwise.html" }
Citations (may not include all citations):434 The pricing of options and corporate liabilities (context) - Black, Scholes - 1973
88 A closed-form solution for options with stochastic volatilit.. (context) - Heston - 1993
40 Upper Saddle River (context) - Hull, futures et al. - 1997
28 Weak and variational methods for moving boundary problems (context) - Elliott, Ockendon - 1982
27 The valuation of American put options (context) - Brennan, Schwartz - 1977
24 Derivatives in financial markets with stochastic volatility (context) - Fouque, Papanicolaou et al. - 2000
22 Splitting and alternating direction methods (context) - Marchuk - 1990
22 the construction and comparison of di#erence schemes (context) - Strang - 1968
20 Penalty methods for American options with stochastic volatil.. - Zvan, Forsyth et al. - 1998
20 The mathematics of financial derivatives (context) - Wilmott, Howison et al. - 1995
19 the numerical solution of heat conduction problems in two an.. (context) - Douglas, Rachford et al. - 1956
16 Implementing derivatives models (context) - Clewlow, Strickland - 1999
16 Multigrid algorithms for the solution of linear complementar.. (context) - Brandt, Cryer - 1983
11 The solution of a quadratic programming problem using system.. (context) - Cryer - 1971
9 volume 14 of Springer Series in Computational Mathematics (context) - Hairer, Wanner et al. - 1996
8 The multigrid solution of two-factor American put options (context) - Clarke, Parrott - 1996
6 erence method in partial di#erential equations (context) - Mitchell, Gri et al. - 1980
6 On multigrid for linear complementarity problems with applic.. (context) - Oosterlee - 2003
6 Multigrid for American option pricing with stochastic volati.. (context) - Clarke, Parrott - 1999
4 Quadratic convergence for valuing American options using a p.. - Forsyth, Vetzal - 2095
4 An alternating direction implicit scheme for parabolic equat.. (context) - McKee, Wall et al. - 1996
4 cients in two-factor option pricing models (context) - Zvan, Forsyth et al. - 2003
4 Finite element methods for incompressible viscous flow (context) - Glowinski - 2003
4 Mesh adaption for the Black and Scholes equations (context) - Pironneau, Hecht - 2000
4 Finite element solution of di#usion problems with irregular .. (context) - Rannacher - 1984
4 Pricing financial instrument (context) - Tavella, Randall - 2000
4 The numerical solution of parabolic and elliptic di#erential.. (context) - Peaceman, Rachford - 1955
3 Tools for computational finance (context) - Seydel - 2002
3 Parabolic ADI methods for pricing American options on two st.. (context) - Villeneuve, Zanette - 2002
2 On multigrid for anisotropic equations and variational inequ.. (context) - Reisinger, Wittum - 2004
2 Alternating direction methods for parabolic equations in two.. (context) - McKee, Mitchell - 1970
2 The solution of problems of mathematical physics in several .. (context) - Yanenko, of - 1971
1 Operator splitting methods for pricing American options with.. - Ikonen, Toivanen - 2004
1 Financial instrument pricing using C (context) - Du - 2004
1 Pricing European options using a space-time adaptive FD-meth.. (context) - Persson, von Sydow - 2005
1 cient solution of linear complementarity problems for tridia.. (context) - Cryer - 1983
1 volume 115 of Teubner Texts in Mathematics (context) - Windisch, numerical - 1989
1 Remedies for non-smooth payo#s in option pricing (context) - Pooley, Vetzal et al. - 2003
Documents on the same site (http://www.mit.jyu.fi/tene/papers/index.html): More
A Parallel Fast Direct Solver With Applications - Mäkinen, Rossi, Toivanen (Correct)
A Fictitious Domain Method with Distributed Lagrange.. - Glowinski.. (1998) (Correct)
Parallel Fictitious Domain Method for a Nonlinear Elliptic.. - Rossi, Toivanen (1997) (Correct)
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC