Penalty methods for American options with stochastic volatility
R Zvan, PA Forsyth, KR Vetzal - Journal of Computational and Applied …, 1998 - Elsevier
The American early exercise constraint can be viewed as transforming the original linear two
dimensional stochastic volatility option pricing PDE into a PDE with a nonlinear source term…
dimensional stochastic volatility option pricing PDE into a PDE with a nonlinear source term…
Quadratic convergence for valuing American options using a penalty method
PA Forsyth, KR Vetzal - SIAM Journal on Scientific Computing, 2002 - SIAM
The convergence of a penalty method for solving the discrete regularized American option
valuation problem is studied. Sufficient conditions are derived which both guarantee …
valuation problem is studied. Sufficient conditions are derived which both guarantee …
Robust numerical methods for contingent claims under jump diffusion processes
…, PA Forsyth, KR Vetzal - IMA Journal of Numerical …, 2005 - ieeexplore.ieee.org
An implicit method is developed for the numerical solution of option pricing models where it
is assumed that the underlying process is a jump diffusion. This method can be applied to a …
is assumed that the underlying process is a jump diffusion. This method can be applied to a …
PDE methods for pricing barrier options
R Zvan, KR Vetzal, PA Forsyth - Journal of Economic Dynamics and Control, 2000 - Elsevier
This paper presents an implicit method for solving PDE models of contingent claims prices
with general algebraic constraints on the solution. Examples of constraints include barriers …
with general algebraic constraints on the solution. Examples of constraints include barriers …
[PDF][PDF] The valuation of convertible bonds with credit risk
E Ayache, PA Forsyth, KR Vetzal - 2003 - ecommons.cornell.edu
Convertible bonds are typically issued by firms which have both relatively high growth and
quite high risk. Convertibles can be difficult to value, given their hybrid nature of containing …
quite high risk. Convertibles can be difficult to value, given their hybrid nature of containing …
[PDF][PDF] Convergence remedies for non-smooth payoffs in option pricing
DM Pooley, KR Vetzal, PA Forsyth - Journal of Computational …, 2003 - cs.uwaterloo.ca
Discontinuities in the payoff function (or its derivatives) can cause inaccuracies for numerical
schemes when pricing financial contracts. In particular, large errors may occur in the …
schemes when pricing financial contracts. In particular, large errors may occur in the …
Numerical convergence properties of option pricing PDEs with uncertain volatility
DM Pooley, PA Forsyth, KR Vetzal - IMA Journal of Numerical …, 2003 - academic.oup.com
The pricing equations derived from uncertain volatility models in finance are often cast in
the form of nonlinear partial differential equations. Implicit timestepping leads to a set of …
the form of nonlinear partial differential equations. Implicit timestepping leads to a set of …
Calibration and hedging under jump diffusion
A jump diffusion model coupled with a local volatility function has been suggested by Andersen
and Andreasen (2000). By generating a set of option prices assuming a jump diffusion …
and Andreasen (2000). By generating a set of option prices assuming a jump diffusion …
The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theories
DB Kennedy, R Sivakumar, KR Vetzal - Journal of Empirical Finance, 2006 - Elsevier
We assess the relative importance of various theoretical explanations of IPO underpricing
by focusing on models that assume that the IPO is the first stage of a multi-stage selling …
by focusing on models that assume that the IPO is the first stage of a multi-stage selling …
[PDF][PDF] Analysis of the stability of the linear boundary condition for the Black-Scholes equation
H Windcliff, PA Forsyth, KR Vetzal - Journal of Computational …, 2004 - researchgate.net
The linear asymptotic boundary condition, ie assuming that the second derivative of the value
of the derivative security vanishes as the asset price becomes large, is commonly used in …
of the derivative security vanishes as the asset price becomes large, is commonly used in …