A lattice method for option pricing with two underlying assets in the regime-switching model
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Publication:2448349
DOI10.1016/j.cam.2013.02.012zbMath1285.91143OpenAlexW2093535166MaRDI QIDQ2448349
Publication date: 30 April 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2013.02.012
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (16)
The pricing of European options on two underlying assets with delays ⋮ COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ Laplace transform methods for a free boundary problem of time-fractional partial differential equation system ⋮ Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ Efficient lattice method for valuing of options with barrier in a regime switching model ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ An efficient finite element method for pricing American multi-asset put options ⋮ Moving mesh methods for pricing Asian options with regime switching ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ Convergence rate of regime-switching trees ⋮ Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching ⋮ A high order finite element scheme for pricing options under regime switching jump diffusion processes ⋮ Pricing American options under multi-state regime switching with an efficientL- stable method ⋮ Optimal stopping of switching diffusions with state dependent switching rates ⋮ Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing ⋮ Convergence rates of trinomial tree methods for option pricing under regime-switching models
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