Clarke, Nigel and Parrott, Kevin (1999) Multigrid for American option pricing with stochastic volatility. Applied Mathematical Finance, 6 (3). pp. 177-195. ISSN 1350-486X (Print), 1466-4313 (Online) (doi:10.1080/135048699334528)

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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.

Item Type:	Article
Uncontrolled Keywords:	American option pricing, stochastic volatility, finite difference method, multigrid, strike\-price related transformation, adaptive time\-stepping
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics > QA76 Computer software
Pre-2014 Departments:	School of Computing & Mathematical Sciences School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis > Computational Mechanics & Reliability Group School of Computing & Mathematical Sciences > Centre for Numerical Modelling & Process Analysis > Computational Science & Engineering Group School of Computing & Mathematical Sciences > Computer & Computational Science Research Group School of Computing & Mathematical Sciences > Department of Computer Science School of Computing & Mathematical Sciences > Department of Mathematical Sciences
Related URLs:	Publisher Publisher Organisation
Last Modified:	14 Oct 2016 09:00
URI:	http://gala.gre.ac.uk/id/eprint/312

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