Pricing American options under multi-state regime switching with an efficient L-stable method
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Publication:2804504
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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Cites work
- A Regime-Switching Model of Long-Term Stock Returns
- A front-fixing finite element method for the valuation of American options with regime switching
- A lattice method for option pricing with two underlying assets in the regime-switching model
- A new class of time discretization schemes for the solution of nonlinear PDEs
- A numerical analysis of American options with regime switching
- AMERICAN OPTIONS WITH REGIME SWITCHING
- American options in regime-switching models
- An ETD Crank-Nicolson method for reaction-diffusion systems
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- Exponential time differencing for stiff systems
- Implications of a regime-switching model on natural gas storage valuation and optimal operation
- Implicit-Explicit Methods for Time-Dependent Partial Differential Equations
- Implicit-explicit Runge-Kutta methods for time-dependent partial differential equations
- Implicit-explicit formulations of a three-dimensional nonhydrostatic unified model of the atmosphere (NUMA)
- Methods for pricing American options under regime switching
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Option pricing and Esscher transform under regime switching
- Option pricing with regime switching by trinomial tree method
- Penalty methods for American options with stochastic volatility
- Pricing exotic options under regime switching
- Regime-switching recombining tree for option pricing
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- The effect of nonsmooth payoffs on the penalty approximation of American options
- The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
Cited in
(28)- A generalized integral equation formulation for pricing American options under regime-switching model
- Partial differential integral equation model for pricing American option under multi state regime switching with jumps
- An integral equation approach for pricing American put options under regime-switching model
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
- A recombining tree method for option pricing with state-dependent switching rates
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- Numerical analysis of novel finite difference methods
- Stochastic optimization algorithms for pricing American put options under regime-switching models
- Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
- High-order time stepping scheme for pricing American option under bates model
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- 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
- Numerical efficiency of some exponential methods for an advection-diffusion equation
- A new efficient numerical method for solving American option under 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
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- A local radial basis function method for high-dimensional American option pricing problems
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- Weather derivatives pricing using regime switching model
- Computing American option price under regime switching with rationality parameter
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
- A second-order efficient \(L\)-stable numerical method for space fractional reaction-diffusion equations
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
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