Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics

DOI10.1137/100799691zbMath1238.91131OpenAlexW1988877127MaRDI QIDQ3097537

Paul W. Eloe, Ruihua Liu

Publication date: 10 November 2011

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100799691

zbMATH Keywords

boundary value problemregime-switching diffusionselling ruledouble barrier option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solution of boundary value problems involving ordinary differential equations (65L10) Nonlocal and multipoint boundary value problems for ordinary differential equations (34B10)

Related Items (3)

Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model ⋮ Discussion on a coupled fixed point theorem for single-valued operators in b-metric spaces

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