scientific article; zbMATH DE number 7478906
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Publication:5033284
discrete maximum principlefinite difference methodfree boundary problemjump-diffusion modelperpetual American optionregime-switching model
White noise theory (60H40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A fast stationary iterative method for a partial integro-differential equation in pricing options
- A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
- A front-fixing finite element method for the valuation of American options with regime switching
- A generalized Newton method for non-Hermitian positive definite linear complementarity problem
- A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An iterative method for pricing American options under jump-diffusion models
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Financial Modelling with Jump Processes
- Implicit-explicit numerical schemes for jump-diffusion processes
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- On the error estimate of finite difference method for the obstacle problem
- Optimal stopping and perpetual options for Lévy processes
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Option pricing when underlying stock returns are discontinuous
- Option Pricing With Markov-Modulated Dynamics
- Perpetual American Options Under Lévy Processes
- Russian and American put options under exponential phase-type Lévy models.
- The pricing of options and corporate liabilities
Cited in
(7)- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Pricing Perpetual Options for Jump Processes
- scientific article; zbMATH DE number 7656355 (Why is no real title available?)
- A numerical analysis of American options with regime switching
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