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

Latest revision as of 15:21, 30 December 2024

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

0 references

title

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

0 references

published in

Numerical Methods for Partial Differential Equations

0 references

publication date

21 January 2013

0 references

zbMATH Keywords

American option

0 references

exponential time differencing

0 references

free boundary value problem

0 references

numerical PDE

0 references

penalty method

0 references

regime-switching

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

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

0 references

cites work

Quadratic Convergence for Valuing American Options Using a Penalty Method

0 references

Methods for Pricing American Options under Regime Switching

0 references

NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING

0 references

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

0 references

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

0 references

Penalty methods for American options with stochastic volatility

0 references

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

0 references

Pricing exotic options under regime switching

0 references

AMERICAN OPTIONS WITH REGIME SWITCHING

0 references

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

0 references

Option pricing and Esscher transform under regime switching

0 references

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

0 references

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

0 references

A Regime-Switching Model of Long-Term Stock Returns

0 references

REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING

0 references

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

0 references

Hybrid switching diffusions. Properties and applications

0 references

An ETD Crank-Nicolson method for reaction-diffusion systems

0 references

Q4375487

0 references

Identifiers

zbMATH Open document ID

1282.91377

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4903222

@@ Property / DOI @@
-.1002/num.21714
@@ Property / DOI: 10.1002/num.21714 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1002/num.21714
@@ Property / full work available at URL: https://doi.org/10.1002/num.21714 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2154396587
@@ 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
@@ Property / DOI @@
+.1002/NUM.21714
@@ Property / DOI: 10.1002/NUM.21714 / rank @@
+Normal rank