An integral equation approach for pricing American put options under regime-switching model

DOI10.1080/00207160.2023.2190828zbMath1515.91163MaRDI QIDQ6176012

Unnamed Author, Song-Ping Zhu

Publication date: 25 July 2023

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

zbMATH Keywords

integral equationfree boundary problemregime-switching modelAmerican put option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A new exact solution for pricing European options in a two-state regime-switching economy
• Computing American option price under regime switching with rationality parameter
• A numerical analysis of American options with regime switching
• Analysis of time series subject to changes in regime
• Mathematical models of financial derivatives
• Option pricing in a regime-switching model using the fast Fourier transform
• Regime switching volatility calibration by the Baum-Welch method
• Pricing exotic options under regime switching
• Monte Carlo methods for security pricing
• How should a local regime-switching model be calibrated?
• A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
• A new efficient numerical method for solving American option under regime switching model
• Static versus dynamic hedges: an empirical comparison for barrier options
• Option pricing with regime switching by trinomial tree method
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Methods for Pricing American Options under Regime Switching
• A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
• American Options in Regime-Switching Models
• REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
• Fourier space time-stepping for option pricing with Lévy models
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
• Information and option pricings
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Randomization and the American Put
• A Regime-Switching Model of Long-Term Stock Returns

This page was built for publication: An integral equation approach for pricing American put options under regime-switching model