A regime-switching model with the volatility smile for two-asset European options

DOI10.1016/J.AUTOMATICA.2013.12.019MaRDI QIDQ462338zbMATH OpenOpenAlexFDO

Authors Junseok Kim, Darae Jeong, Dong-Hoon Shin

Publication date 20 October 2014

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2013.12.019

zbMATH Keywords

finite difference methodoperator splitting methodregime-switching modelvolatility smile

Mathematics Subject Classification ID

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

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Cites work

• A comparison study of ADI and operator splitting methods on option pricing models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• ADI as a Preconditioning for Solving the Convection-Diffusion Equation
• ADI finite difference schemes for option pricing in the Heston model with correlation
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
• scientific article; zbMATH DE number 1113626 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 5172394 (Why is no real title available?)
• Operator splitting methods for American option pricing.
• Stock trading: an optimal selling rule

Cited in

(7)

• Option pricing in a regime switching stochastic volatility model
• A regime switching fractional Black-Scholes model and European option pricing
• Numerical identification of time-dependent volatility in European options with two-stage regime-switching
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• An analytic valuation method for multivariate contingent claims with regime-switching volatilities
• Weak Approximation for a Black-Scholes Type Regime Switching Model

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