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

DOI10.1002/num.21714zbMath1282.91377OpenAlexW2154396587MaRDI QIDQ4903222

No author found.

Publication date: 21 January 2013

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.21714

zbMATH Keywords

penalty methodAmerican optionexponential time differencingfree boundary value problemregime-switchingnumerical PDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Continuous-time Markov processes on discrete state spaces (60J27) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models ⋮ Preconditioned iterative methods for fractional diffusion models in finance ⋮ 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 ⋮ A free boundary problem arising from a multi-state regime-switching stock trading model ⋮ On the numerical and structural properties of a logarithmic scheme for diffusion-reaction equations ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ A second-order exponential time differencing scheme for non-linear reaction-diffusion systems with dimensional splitting ⋮ Iterative weak approximation and hard bounds for switching diffusion ⋮ Hybrid Laplace transform and finite difference methods for pricing American options under complex models ⋮ A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE ⋮ A fast numerical method to price American options under the Bates model ⋮ Computing American option price under regime switching with rationality parameter ⋮ NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS ⋮ A local radial basis function method for pricing options under the regime switching model ⋮ A new efficient numerical method for solving American option under regime switching model ⋮ Pricing American options under multi-state regime switching with an efficientL- stable method

Cites Work

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

This page was built for publication: Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes