NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING

DOI10.1142/S0219024909005245zbMath1204.91127OpenAlexW1979130814MaRDI QIDQ3637884

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Publication date: 14 July 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005245

zbMATH Keywords

implicit schemepenalty method\(\theta\)-methodAmerican optionfree boundary value problemregime-switching

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Unnamed Item
• Option pricing and Esscher transform under regime switching
• Adaptive \(\theta \)-methods for pricing American options
• Penalty methods for American options with stochastic volatility
• AMERICAN OPTIONS WITH REGIME SWITCHING
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Option pricing: A simplified approach
• A simple approach for pricing equity options with Markov switching state variables
• A Regime-Switching Model of Long-Term Stock Returns

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