Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (Q4903222): Difference between revisions

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scientific article; zbMATH DE number 6127234

Language	Label	Description	Also known as
English	Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes	scientific article; zbMATH DE number 6127234

Statements

instance of

scholarly article

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title

Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (English)

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published in

Numerical Methods for Partial Differential Equations

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publication date

21 January 2013

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zbMATH Keywords

American option

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exponential time differencing

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free boundary value problem

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numerical PDE

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penalty method

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regime-switching

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1002/num.21714

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cites work

Quadratic Convergence for Valuing American Options Using a Penalty Method

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Methods for Pricing American Options under Regime Switching

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NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING

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Adaptive \(\theta \)-methods for pricing American options

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Penalty methods for the numerical solution of American multi-asset option problems

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Penalty methods for American options with stochastic volatility

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A simple approach for pricing equity options with Markov switching state variables

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Pricing exotic options under regime switching

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AMERICAN OPTIONS WITH REGIME SWITCHING

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Implications of a regime-switching model on natural gas storage valuation and optimal operation

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Option pricing and Esscher transform under regime switching

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Double barrier option under regime-switching exponential mean-reverting process

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Closed-Form Solutions for Perpetual American Put Options with Regime Switching

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A Regime-Switching Model of Long-Term Stock Returns

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REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING

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Option pricing in a regime-switching model using the fast Fourier transform

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Hybrid switching diffusions. Properties and applications

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An ETD Crank-Nicolson method for reaction-diffusion systems

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Q4375487

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Identifiers

zbMATH Open document ID

1282.91377

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DOI

10.1002/num.21714

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4903222

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@@ Property / OpenAlex ID: W2154396587 / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+Methods for Pricing American Options under Regime Switching
+Normal rank
@@ Property / cites work @@
+NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
+Normal rank
@@ Property / cites work @@
+Adaptive \(\theta \)-methods for pricing American options
+Normal rank
@@ Property / cites work @@
+Penalty methods for the numerical solution of American multi-asset option problems
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank
@@ Property / cites work @@
+A simple approach for pricing equity options with Markov switching state variables
+Normal rank
@@ Property / cites work @@
+Pricing exotic options under regime switching
@@ Property / cites work: Pricing exotic options under regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+Implications of a regime-switching model on natural gas storage valuation and optimal operation
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Double barrier option under regime-switching exponential mean-reverting process
+Normal rank
@@ Property / cites work @@
+Closed-Form Solutions for Perpetual American Put Options with Regime Switching
+Normal rank
@@ Property / cites work @@
+A Regime-Switching Model of Long-Term Stock Returns
+Normal rank
@@ Property / cites work @@
+REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
+Normal rank
@@ Property / cites work @@
+Option pricing in a regime-switching model using the fast Fourier transform
+Normal rank
@@ Property / cites work @@
+Hybrid switching diffusions. Properties and applications
+Normal rank
@@ Property / cites work @@
+An ETD Crank-Nicolson method for reaction-diffusion systems
+Normal rank
@@ Property / cites work @@
+Q4375487
@@ Property / cites work: Q4375487 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4903222