A new efficient numerical method for solving American option under regime switching model
DOI10.1016/J.CAMWA.2015.11.019zbMATH Open1443.91327OpenAlexW2191767628MaRDI QIDQ2006602FDOQ2006602
Authors: V. N. Egorova, R. Company, L. Jódar 
Publication date: 11 October 2020
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2015.11.019
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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)
Cites Work
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- Option pricing with regime switching by trinomial tree method
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Cited In (25)
- A front-fixing finite element method for the valuation of American options with regime switching
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- Penalty method for indifference pricing of American option in a liquidity switching market
- Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
- A local radial basis function method for pricing options under the regime switching model
- 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
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
- Numerical analysis of novel finite difference methods
- An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- A numerical analysis of American options with regime switching
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- An integral equation approach for pricing American put options under regime-switching model
- Pricing American options under regime-switching model with a Crank-Nicolson fitted finite volume method
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Projection and contraction method for the valuation of American options under regime switching
- Title not available (Why is that?)
- Computing American option price under regime switching with rationality parameter
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- Fast and accurate calculation of American option prices
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