A new efficient numerical method for solving American option under regime switching model
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regime switchingfree boundarynumerical analysisfinite difference methodsAmerican option pricingfront-fixing transformation
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
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Cites work
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- A Regime-Switching Model of Long-Term Stock Returns
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- An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation
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- Constructing positive reliable numerical solution for American call options: a new front-fixing approach
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- Heat conduction in a melting solid
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- Implications of a regime-switching model on natural gas storage valuation and optimal operation
- Mathematical models of financial derivatives
- Methods for pricing American options under regime switching
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
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- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
- Regime-switching recombining tree for option pricing
- Solving American option pricing models by the front fixing method: numerical analysis and computing
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- The pricing of options and corporate liabilities
Cited in
(25)- A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
- Primal-dual active set algorithm for valuating American options under regime switching
- A generalized integral equation formulation for pricing American options under regime-switching model
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- An integral equation approach for pricing American put options under regime-switching model
- A numerical analysis of American options with regime switching
- Pricing American options under regime-switching model with a Crank-Nicolson fitted finite volume method
- A front-fixing finite element method for the valuation of American options with regime switching
- An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options
- Numerical analysis of novel finite difference methods
- Projection and contraction method for the valuation of American options under regime switching
- Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
- scientific article; zbMATH DE number 7478906 (Why is no real title available?)
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- A local radial basis function method for pricing options under the regime switching model
- Fast and accurate calculation of American option prices
- Penalty method for indifference pricing of American option in a liquidity switching market
- Computing American option price under regime switching with rationality parameter
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
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