A front-fixing finite element method for the valuation of American options with regime switching

DOI10.1080/00207160.2012.663911zbMath1258.65089OpenAlexW2005219641MaRDI QIDQ4903537

Hongtao Yang, Shuhua Zhang, Anthony David Holmes

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.663911

zbMATH Keywords

finite element methodregime switchingAmerican optionfree boundary value problemfront-fixing method

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (14)

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Cites Work

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• Option pricing with regime switching by trinomial tree method
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• Methods for Pricing American Options under Regime Switching
• American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• American options on assets with dividends near expiry
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• A Front-Fixing Finite Element Method for the Valuation of American Options

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