PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES

DOI10.1017/S1446181117000335zbMath1407.91281OpenAlexW2766301668MaRDI QIDQ4608943

Ivan Guo, Xiang-Chen Zeng, Song-Ping Zhu

Publication date: 29 March 2018

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181117000335

zbMATH Keywords

option pricingMonte Carlo simulationfinite-difference methodregime-switching modelvariance-reduction techniquesimulating total occupation time

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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