Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes

DOI10.1002/num.21714zbMath1282.91377MaRDI QIDQ4903222

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Publication date: 21 January 2013

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.21714

zbMATH Keywords

penalty method; American option; exponential time differencing; free boundary value problem; regime-switching; numerical PDE

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

60J60: Diffusion processes

91G20: Derivative securities (option pricing, hedging, etc.)

65M20: Method of lines for initial value and initial-boundary value problems involving PDEs

60J27: Continuous-time Markov processes on discrete state spaces

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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