A spectral element method for option pricing under regime-switching with jumps
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Publication:2189667
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- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
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- A spectral element method to price European options. I. Single asset with and without jump diffusion
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- Methods for pricing American options under regime switching
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Cited in
(16)- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
- Spectral methods for volatility derivatives
- A spectral element framework for option pricing under general exponential Lévy processes
- On a semi-spectral method for pricing an option on a mean-reverting asset
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- Error analysis of finite difference scheme for American option pricing under regime-switching with jumps
- 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
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- A spectral element method to price European options. I. Single asset with and without jump diffusion
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- Primal-dual active set algorithm for valuating American options under regime switching
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- A Legendre-Galerkin spectral method for option pricing under regime switching models
- Adaptive isogeometric analysis with truncated hierarchical B-splines for nonlinear option pricing problems
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