We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs.
- Authors
Yousuf, M.; Khaliq, A.Q.M.
- Abstract
Based on Cox and Matthews Exponential Time Differencing (ETD) approach, a fourth-order strongly-stable method having real distinct poles is developed and applied to solve American options under stochastic volatility with nonsmooth payoffs. A computationally efficient version of the method is constructed using partial fraction splitting technique. This approach requires to solve several backward Euler-type linear systems at each time step. Numerical experiments are presented to demonstrate the computational efficiency, accuracy, and reliability of the method. © 2013 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2013
- Subjects
STOCHASTIC analysis; NUMERICAL solutions to partial differential equations; EULER equations; MATHEMATICAL models; PARTIAL fractions
- Publication
Numerical Methods for Partial Differential Equations, 2013, Vol 29, Issue 6, p1864
- ISSN
0749-159X
- Publication type
Article
- DOI
10.1002/num.21780