Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
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American option pricingcomplementarity problemfitted finite volume methodpenalty methodregime-switching jump-diffusion model
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Finite volume methods for boundary value problems involving PDEs (65N08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A computational scheme for uncertain volatility model in option pricing
- A fitted finite volume method for real option valuation of risks in climate change
- A fitted finite volume method for the valuation of options on assets with stochastic volatilities
- A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A numerical analysis of American options with regime switching
- A penalty-based method from reconstructing smooth local volatility surface from American options
- A power penalty approach to numerical solutions of two-asset American options
- A semilinear Black and Scholes partial differential equation for valuing American options
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An exponentially fitted finite volume method for the numerical solution of 2D unsteady incompressible flow problems
- An iterative method for pricing American options under jump-diffusion models
- Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
- Computational Methods for Option Pricing
- Financial options pricing with regime-switching jump-diffusions
- Numerical schemes for option pricing in regime-switching jump diffusion models
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- Option pricing under regime-switching jump-diffusion models
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- Power penalty approach to American options pricing under regime switching
- Pricing American bond options using a penalty method
- Pricing European options on zero-coupon bonds with a fitted finite volume method
- Pricing options under jump diffusion processes with fitted finite volume method
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- The pricing of options and corporate liabilities
- Trend following trading under a regime switching model
Cited in
(16)- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
- Penalty method for indifference pricing of American option in a liquidity switching market
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
- Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
- Financial options pricing with regime-switching jump-diffusions
- Pricing American options under regime-switching model with a Crank-Nicolson fitted finite volume method
- A modified Crank-Nicolson fitted finite volume method for American options under regime-switching jump-diffusion processes
- A Crank-Nicolson fitted finite volume method for pricing European options under regime switching
- scientific article; zbMATH DE number 7589106 (Why is no real title available?)
- Error analysis of finite difference scheme for American option pricing under regime-switching with jumps
- A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
- Pricing options under jump diffusion processes with fitted finite volume method
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