A high order finite element scheme for pricing options under regime switching jump diffusion processes
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Publication:5964596
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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Cites work
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
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- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A jump-diffusion model for option pricing
- A lattice method for option pricing with two underlying assets in the regime-switching model
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Exotic options under Lévy models: an overview
- Exponential time integration for fast finite element solutions of some financial engineering problems
- Financial Modelling with Jump Processes
- Financial options pricing with regime-switching jump-diffusions
- Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
- High-order computational methods for option valuation under multifactor models
- Methods for pricing American options under regime switching
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Operator splitting methods for American option pricing.
- Option Pricing in a Jump-Diffusion Model with Regime Switching
- Option pricing and Esscher transform under regime switching
- Option pricing under regime-switching jump-diffusion models
- Option pricing with regime switching by trinomial tree method
- Pricing exotic options under regime switching
- Robust numerical methods for contingent claims under jump diffusion processes
- Russian and American put options under exponential phase-type Lévy models.
- The pricing of options and corporate liabilities
Cited in
(32)- High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models
- Numerical study for European option pricing equations with non-Levy jumps
- High-order methods for exotic options and Greeks under regime-switching jump-diffusion models
- Partial differential integral equation model for pricing American option under multi state regime switching with jumps
- 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
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
- Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
- Numerical solutions of Black-Scholes integro-differential equations with convergence analysis
- Pricing American options under Azzalini Ito-McKean skew Brownian motions
- 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 implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
- Lookback option pricing for regime-switching jump diffusion models
- Financial options pricing with regime-switching jump-diffusions
- Isogeometric analysis in option pricing
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Robust stability, stabilisation and H-infinity control for premium-reserve models in a Markovian regime switching discrete-time framework
- Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
- scientific article; zbMATH DE number 7589106 (Why is no real title available?)
- Numerical schemes for option pricing in regime-switching jump diffusion models
- 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
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- 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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