Computing American option price under regime switching with rationality parameter

DOI10.1016/J.CAMWA.2016.05.026MaRDI QIDQ520865zbMATH OpenOpenAlexFDO

Authors Carlos Vázquez, R. Company, V. N. Egorova, L. Jódar

Publication date 6 April 2017

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2016.05.026

zbMATH Keywords

numerical analysispartial differential systemcomputingAmerican regime-switching option pricingrational exerciseweighted finite difference scheme

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited in

(16)

• Power penalty approach to American options pricing under regime switching
• Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
• An ETD method for multi‐asset American option pricing under jump‐diffusion model
• Partial differential integral equation model for pricing American option under multi state regime switching with jumps
• Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
• A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
• A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
• A generalized integral equation formulation for pricing American options under regime-switching model
• Stochastic optimization algorithms for pricing American put options under regime-switching models
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
• A numerical analysis of American options with regime switching
• An integral equation approach for pricing American put options under regime-switching model
• Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
• A Legendre-Galerkin spectral method for option pricing under regime switching models
• A new efficient numerical method for solving American option under regime switching model
• COS method for option pricing under a regime-switching model with time-changed Lévy processes

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