An integral equation approach for pricing American put options under regime-switching model
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Stopping times; optimal stopping problems; gambling theory (60G40) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A new efficient numerical method for solving American option under regime switching model
- A new exact solution for pricing European options in a two-state regime-switching economy
- A numerical analysis of American options with regime switching
- A Regime-Switching Model of Long-Term Stock Returns
- American options in regime-switching models
- AMERICAN OPTIONS WITH REGIME SWITCHING
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
- Analysis of time series subject to changes in regime
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
- Computing American option price under regime switching with rationality parameter
- Fourier space time-stepping for option pricing with Lévy models
- How should a local regime-switching model be calibrated?
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- Information and option pricings
- Mathematical models of financial derivatives
- Methods for pricing American options under regime switching
- Monte Carlo methods for security pricing
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Option pricing in a regime-switching model using the fast Fourier transform
- Option pricing with regime switching by trinomial tree method
- Pricing exotic options under regime switching
- Randomization and the American put
- Regime switching volatility calibration by the Baum-Welch method
- Regime-switching recombining tree for option pricing
- Static versus dynamic hedges: an empirical comparison for barrier options
- The pricing of options and corporate liabilities
Cited in
(14)- A new integral equation formulation for American put options
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- A numerical analysis of American options with regime switching
- Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
- A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
- Primal-dual active set algorithm for valuating American options under regime switching
- A generalized integral equation formulation for pricing American options under regime-switching model
- A generalized approach for pricing American options under a regime-switching model
- Implicit-explicit method for pricing American options under Merton and Kou jump diffusion models
- Implicit-explicit high-order methods for pricing options under Merton's jump-diffusion models
- Analytical approximations for American option pricing under regime-switching models
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