Pricing American options under multi-state regime switching with an efficient L-stable method
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Publication:2804504
DOI10.1080/00207160.2015.1071799zbMATH Open1386.91168OpenAlexW1879260681MaRDI QIDQ2804504FDOQ2804504
Authors: M. Yousuf, A. Q. M. Khaliq, RongHua Liu 
Publication date: 29 April 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2015.1071799
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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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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Cited In (28)
- High-order time stepping scheme for pricing American option under bates model
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Partial differential integral equation model for pricing American option under multi state regime switching with jumps
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
- Numerical efficiency of some exponential methods for an advection-diffusion equation
- Weather derivatives pricing using regime switching model
- A local radial basis function method for pricing options under the regime switching model
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- A generalized integral equation formulation for pricing American options under regime-switching 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 local radial basis function method for high-dimensional American option pricing problems
- Numerical analysis of novel finite difference methods
- Stochastic optimization algorithms for pricing American put options under regime-switching models
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- An integral equation approach for pricing American put options under regime-switching model
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- A recombining tree method for option pricing with state-dependent switching rates
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- A new efficient numerical method for solving American option under regime switching model
- A second-order efficient \(L\)-stable numerical method for space fractional reaction-diffusion equations
- Computing American option price under regime switching with rationality parameter
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