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15 results on '"Haentjens, Tinne"'

1. ADI schemes for pricing American options under the Heston model

Author

Haentjens, Tinne and Hout, Karel in 't

Subjects
Quantitative Finance - Computational Finance, Mathematics - Numerical Analysis
Abstract

In this paper a simple, effective adaptation of Alternating Direction Implicit (ADI) time discretization schemes is proposed for the numerical pricing of American-style options under the Heston model via a partial differential complementarity problem. The stability and convergence of the new methods are extensively investigated in actual, challenging applications. In addition a relevant theoretical result is proved.

Published
2013
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2. ADI finite difference schemes for the Heston-Hull-White PDE

Author

Haentjens, Tinne and Hout, Karel J. in 't

Subjects
Quantitative Finance - Computational Finance, Mathematics - Numerical Analysis
Abstract

In this paper we investigate the effectiveness of Alternating Direction Implicit (ADI) time discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial differential equation, which is semidiscretized by applying finite difference schemes on nonuniform spatial grids. We consider the Heston-Hull-White model with arbitrary correlation factors, with time-dependent mean-reversion levels, with short and long maturities, for cases where the Feller condition is satisfied and for cases where it is not. In addition, both European-style call options and up-and-out call options are considered. It is shown through extensive tests that ADI schemes, with a proper choice of their parameters, perform very well in all situations - in terms of stability, accuracy and efficiency.

Published
2011

3. BENCHOP–SLV : The BENCHmarking project in Option Pricing – Stochastic and local volatility problems

Author

von Sydow, Lina, Milovanović, Slobodan, Larsson, Elisabeth, In't Hout, Karel, Wiktorsson, Magnus, Oosterlee, Cornelis W., Shcherbakov, Victor, Wyns, Maarten, Leitao, Alvaro, Jain, Shashi, Haentjens, Tinne, Waldén, Johan, von Sydow, Lina, Milovanović, Slobodan, Larsson, Elisabeth, In't Hout, Karel, Wiktorsson, Magnus, Oosterlee, Cornelis W., Shcherbakov, Victor, Wyns, Maarten, Leitao, Alvaro, Jain, Shashi, Haentjens, Tinne, and Waldén, Johan

Abstract

eSSENCE

Published
2019
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4. BENCHOP–SLV: The BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems

Author

von Sydow, Lina (author), Milovanović, Slobodan (author), Larsson, Elisabeth (author), In 't Hout, Karel (author), Wiktorsson, Magnus (author), Oosterlee, C.W. (author), Shcherbakov, Victor (author), Wyns, Maarten (author), Leitao Rodriguez, A. (author), Jain, S. (author), Haentjens, Tinne (author), Waldén, Johan (author), von Sydow, Lina (author), Milovanović, Slobodan (author), Larsson, Elisabeth (author), In 't Hout, Karel (author), Wiktorsson, Magnus (author), Oosterlee, C.W. (author), Shcherbakov, Victor (author), Wyns, Maarten (author), Leitao Rodriguez, A. (author), Jain, S. (author), Haentjens, Tinne (author), and Waldén, Johan (author)

Abstract

In the recent project BENCHOP–the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging. Here we continue the effort by introducing a set of benchmark problems for this type of problems. Eight different methods targeted for the Stochastic Differential Equation (SDE) formulation and the Partial Differential Equation (PDE) formulation of the problem, as well as Fourier methods making use of the characteristic function, were implemented to solve these problems. Comparisons are made with respect to time to reach a certain error level in the computed solution for the different methods. The implemented Fourier method was superior to all others for the two problems where it was implemented. Generally, methods targeting the PDE formulation of the problem outperformed the methods for the SDE formulation. Among the methods for the PDE formulation the ADI method stood out as the best performing one., Numerical Analysis

Published
2018
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5. BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems

Author

von Sydow, Lina, primary, Milovanović, Slobodan, additional, Larsson, Elisabeth, additional, In't Hout, Karel, additional, Wiktorsson, Magnus, additional, Oosterlee, Cornelis W., additional, Shcherbakov, Victor, additional, Wyns, Maarten, additional, Leitao, Alvaro, additional, Jain, Shashi, additional, Haentjens, Tinne, additional, and Waldén, Johan, additional

Published
2018
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7. Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation

Author

Haentjens, Tinne and in 't Hout, Karel

Subjects
Economics, Mathematics
Abstract

In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional HestonHullWhite partial differential equation, which is semidiscretized by applying finite difference schemes on nonuniform spatial grids. We consider the HestonHullWhite model with arbitrary correlation factors, with timedependent mean-reversion levels, with short and long maturities, for cases where the Feller condition is satisfied and for cases where it is not. In addition, both European-style call options and up-and-out call options are considered. It is shown through extensive tests that ADI schemes with a proper choice of parameters perform very well in all situations, in terms of stability, accuracy and efficiency.

Published
2012

13. ADI FD schemes for the numerical solution of the three-dimensional Heston-Cox-Ingersoll-Ross PDE.

Author

Haentjens, Tinne

Subjects
*STATISTICAL correlation, *DISCRETE systems, *DEPENDENCE (Statistics), *SPATIAL analysis (Statistics), *FINITE differences, *NUMERICAL solutions to difference equations
Abstract

This paper deals with the numerical solution of the time-dependent, three-dimensional Heston-Cox-Ingersoll- Ross PDE, with all correlations nonzero, for the fair pricing of European call options. We apply a finite difference dis-cretization on non-uniform spatial grids and then numerically solve the semi-discrete system in time by using an Alternating Direction Implicit scheme. We show that this leads to a highly efficient and stable numerical solution method. [ABSTRACT FROM AUTHOR]

Published
2012
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14. ADI Finite Difference Discretization of the Heston-Hull-White PDE.

Author

Haentjens, Tinne and in't Hout, Karel

Subjects
*NUMERICAL analysis, *FINITE differences, *THREE-dimensional imaging, *GRID computing, *COMPUTATIONAL mathematics
Abstract

This paper concerns the efficient numerical solution of the time-dependent, three-dimensional Heston-Hull-White PDE for the fair prices of European call options. The numerical solution method described in this paper consists of a finite difference discretization on non-uniform spatial grids followed by an Alternating Direction Implicit scheme for the time discretization and extends the method recently proved effective by In’t Hout & Foulon (2010) for the simpler, two-dimensional Heston PDE. [ABSTRACT FROM AUTHOR]

Published
2010
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15. ADI Schemes with Ikonen—Toivanen Splitting for Pricing American put Options in the Heston Model.

Author

Haentjens, Tinne, in 't Hout, Karel, and Volders, Kim

Subjects
*NUMERICAL analysis, *STOCHASTIC analysis, *WIENER processes, *FINITE differences, *MARKOV processes, *BOUNDARY element methods
Abstract

The numerical valuation of American put options under the Heston stochastic volatility model is considered. We investigate in this paper the potential of combining the recent splitting approach of Ikonen & Toivanen (2004, 2009) with Alternating Direction Implicit schemes to obtain more efficient numerical methods. [ABSTRACT FROM AUTHOR]

Published
2010
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