A front-fixing finite element method for the valuation of American options with regime switching
DOI10.1080/00207160.2012.663911zbMATH Open1258.65089OpenAlexW2005219641MaRDI QIDQ4903537FDOQ4903537
Authors: Anthony David Holmes, Hongtao Yang, Shuhua Zhang 
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
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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)
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- AMERICAN OPTIONS WITH REGIME SWITCHING
- A Front-Fixing Finite Element Method for the Valuation of American Options
- Methods for pricing American options under regime switching
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- A numerical analysis of American options with regime switching
- American options on assets with dividends near expiry
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Option pricing with regime switching by trinomial tree method
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
Cited In (19)
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Partial differential integral equation model for pricing American option under multi state regime switching with jumps
- A semi-analytic valuation of American options under a two-state regime-switching economy
- A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
- A local radial basis function method for pricing options under the regime switching model
- Primal-dual active set algorithm for valuating American options under regime switching
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- An RBF-FD method for pricing American options under jump-diffusion models
- A Front-Fixing Finite Element Method for the Valuation of American Options
- PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
- Title not available (Why is that?)
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
- Projection and contraction method for the valuation of American options under regime switching
- Title not available (Why is that?)
- Finite maturity American-style stock loans with regime-switching volatility
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
- Pricing American options under multi-states: a radial basis collocation approach
- Fast and accurate calculation of American option prices
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