A high order finite element scheme for pricing options under regime switching jump diffusion processes
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Publication:5964596
DOI10.1016/J.CAM.2015.12.019zbMATH Open1331.91194OpenAlexW2228123221MaRDI QIDQ5964596FDOQ5964596
Athanasios A. Pantelous, Nisha Rambeerich
Publication date: 29 February 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.12.019
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Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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Cited In (28)
- High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models
- Partial differential integral equation model for pricing American option under multi state regime switching with jumps
- ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- Asymptotic high-order schemes for integro-differential problems arising in markets with jumps
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
- Pricing American options under Azzalini Ito-McKean skew Brownian motions
- A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
- Numerical solutions of Black-Scholes integro-differential equations with convergence analysis
- Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- Error analysis of finite difference scheme for American option pricing under regime-switching with jumps
- Pricing discretely-monitored double barrier options with small probabilities of execution
- A spectral element method for option pricing under regime-switching with jumps
- An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models
- An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
- Isogeometric analysis in option pricing
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Numerical study for European option pricing equations with non-levy jumps
- Title not available (Why is that?)
- An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
- A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model
- A Legendre-Galerkin spectral method for option pricing under regime switching models
- Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
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