Related papers: High-order ADI scheme for option pricing in stocha…
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock…
We consider \emph{Alternating Direction Implicit} (ADI) splitting schemes to compute efficiently the numerical solution of the PDE osmosis model considered by Weickert et al. for several imaging applications. The discretised scheme is shown…
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…
It is well known that the Black-Scholes-Merton model suffers from several deficiencies. Jump-diffusion and Levy models have been widely used to partially alleviate some of the biases inherent in this classical model. Unfortunately, the…
In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This model has two distinctive features. First,…
In this article, we provide representations of European and American exchange option prices under stochastic volatility jump-diffusion (SVJD) dynamics following models by Merton (1976), Heston (1993), and Bates (1996). A Radon-Nikodym…
In this paper, we propose a novel high order unfitted finite element method on Cartesian meshes for solving the acoustic wave equation with discontinuous coefficients having complex interface geometry. The unfitted finite element method…
We describe high order accurate and stable finite difference schemes for the initial-boundary value problem associated with the magnetic induction equations. These equations model the evolution of a magnetic field due to a given velocity…
In this paper, authors successfully construct a new algorithm for the new higher order scheme of weak approximation of SDEs. The algorithm presented here is based on [1][2]. Although this algorithm shares some features with the algorithm…
In this paper, we consider a fast and second-order implicit difference method for approximation of a class of time-space fractional variable coefficients advection-diffusion equation. To begin with, we construct an implicit difference…
In this paper, we study the option pricing problems for rough volatility models. As the framework is non-Markovian, the value function for a European option is not deterministic; rather, it is random and satisfies a backward stochastic…
We derive a semi-analytical pricing formula for European VIX call options under the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343. This arbitrage-free model incorporates the volatility clustering feature by adding…
We use high order finite difference methods to solve the wave equation in the second order form. The spatial discretization is performed by finite difference operators satisfying a summation-by-parts property. The focus of this work is on…
Arbitrary high order numerical methods for time-harmonic acoustic scattering problems originally defined on unbounded domains are constructed. This is done by coupling recently developed high order local absorbing boundary conditions (ABCs)…
In this paper, we present an implicit finite difference method for the numerical solution of the Black-Scholes model of American put options without dividend payments. We combine the proposed numerical method by using a front fixing…
We present a detailed analysis and implementation of a splitting strategy to identify simultaneously the local-volatility surface and the jump-size distribution from quoted European prices. The underlying model consists of a jump-diffusion…
Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…
We present a novel approach for parameter calibration of the Heston model for pricing an Asian put option, namely space mapping. Since few parameters of the Heston model can be directly extracted from real market data, calibration to real…
The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square…
New simulation approaches to evaluating path-dependent options without matrix inversion issues nor Euler bias are evaluated. They employ three main contributions: Stochastic approximation replaces regression in the LSM algorithm; Explicit…