COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
By Samuli Ikonen, Jari Toivanen. 2007
73 citations recorded by the source corpus.
Subfields: Finance, Numerical Analysis
View Paper: https://www.semanticscholar.org/paper/10a30b8e69c692f8e56500d94c1b20435f649231
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Carl Chiarella
- Boda Kang
- Andrew Ziogas
- Gunter H. Meyer
- Samuli Ikonen
- Jari Toivanen
- Xue-zhong He
- Cars H. Hommes
In Numerical Analysis
- Carl Chiarella
- Boda Kang
- Andrew Ziogas
- Gunter H. Meyer
- Samuli Ikonen
- Jari Toivanen
- Shan Chen
- M. Insley
Citations in the corpus
- ADI Schemes for Pricing American Options under the Heston Model (2013, unknown): “Here the basic choice from [23, 26] is taken: ¯ λ n = λ n − 1 with λ 0 the zero vector . b b We refer to the above technique as Ikonen–Toivanen (IT) splitting and call (3.3) the θ -”
- The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines (2009, methodology): “Ikonen & Toivanen (2004, 2007) use a finite difference approach featuring operator splitting, and there are several examples featuring multi-grid finite difference methods, including Clarke & Parrott (1999), Oosterlee (2003) and Reisinger & Wittum (2004).”
- Efficient numerical methods for pricing American options under stochastic volatility (2008, methodology): “On the coarsest grid the speed of the projected SOR is comparable with the multigrid methods while on finer grids it is several times slower.”