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

DOI10.1002/num.21714zbMath1282.91377OpenAlexW2154396587MaRDI 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 methodAmerican optionexponential time differencingfree boundary value problemregime-switchingnumerical PDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Continuous-time Markov processes on discrete state spaces (60J27) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

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• Implications of a regime-switching model on natural gas storage valuation and optimal operation
• 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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