Methods for pricing American options under regime switching
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(48)- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
- Power penalty approach to American options pricing under regime switching
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- 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
- Penalty method for indifference pricing of American option in a liquidity switching market
- A semi-analytic valuation of American options under a two-state regime-switching economy
- Asset liquidation under drift uncertainty and regime-switching volatility
- A spectral element method for option pricing under regime-switching with jumps
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Financial options pricing with regime-switching jump-diffusions
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- Prepayment option of a perpetual corporate loan: the impact of the funding costs
- American options in regime-switching models
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Valuation of the prepayment option of a perpetual corporate loan
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- A front-fixing finite element method for the valuation of American options with regime switching
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- Finite maturity American-style stock loans with regime-switching volatility
- A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
- Numerical schemes for option pricing in regime-switching jump diffusion models
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- Partial differential integral equation model for pricing American option under multi state regime switching with jumps
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- Iterative weak approximation and hard bounds for switching diffusion
- An integral equation approach for pricing American put options under regime-switching model
- Pricing European options under stochastic looping contagion risk model
- PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
- A numerical analysis of American options with regime switching
- Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- RBF–based IMEX finite difference schemes for pricing option under liquidity switching
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- Implicit-explicit method for pricing American options under Merton and Kou jump diffusion models
- Implicit-explicit high-order methods for pricing options under Merton's jump-diffusion models
- Domain truncation error analysis for a multidimensional system of PDEs of option prices
- Numerical valuation of American options with liquidity shocks using IMEX methods
- Pricing American options under multi-states: a radial basis collocation approach
- Stability and error estimates of operator-splitting methods for pricing American option under regime-switching model with jumps
- Stochastic optimization algorithms for pricing American put options under regime-switching models
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