Computing American option price under regime switching with rationality parameter
DOI10.1016/J.CAMWA.2016.05.026zbMATH Open1410.91480OpenAlexW2415574096MaRDI QIDQ520865FDOQ520865
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
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numerical analysispartial differential systemcomputingAmerican regime-switching option pricingrational exerciseweighted finite difference scheme
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)
Cites Work
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Cited In (16)
- Power penalty approach to American options pricing under regime switching
- 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
- Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
- 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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