Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models

DOI10.1016/j.camwa.2015.12.017zbMath1443.65199OpenAlexW3122704423MaRDI QIDQ2006622

Yanyan Li

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.2015.12.017

zbMATH Keywords

parallel computingAsian optionsjump-diffusionregime-switchingsystem of partial integro-differential equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (15)

Isogeometric analysis in option pricing ⋮ COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ A robust numerical solution to a time-fractional Black-Scholes equation ⋮ Derivation of the Black–Scholes Equation from Basic Principles ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ L^∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Pricing European options under stochastic looping contagion risk model ⋮ Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ Asian option as a fixed-point ⋮ Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge ⋮ Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing ⋮ Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models

Uses Software

• PDE2D

Cites Work

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