A numerical analysis of American options with regime switching

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cites Work

Financial Modelling with Jump Processes
Title not available (Why is that?)
Title not available (Why is that?)
AMERICAN OPTIONS WITH REGIME SWITCHING
A Front-Fixing Finite Element Method for the Valuation of American Options
Derivative securities and difference methods.
Analysis of a Robust Finite Element Approximation for a Parabolic Equation with Rough Boundary Data
Closed-Form Solutions for Perpetual American Put Options with Regime Switching
Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
A Note on the Call-Put Parity and a Call-Put Duality
Symmetry and duality in Lévy markets

Cited In (21)

Power penalty approach to American options pricing under regime switching
A front-fixing finite element method for the valuation of American options with regime switching
A deposit insurance pricing with a multi-state regime-switching volatility
A semi-analytic valuation of American options under a two-state regime-switching economy
Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
A local radial basis function method for pricing options under the 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
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
American Option Pricing Using Simulation and Regression: Numerical Convergence Results
A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY
Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes
An integral equation approach for pricing American put options under regime-switching model
Title not available (Why is that?)
Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
Pricing American options under multi-state regime switching with an efficientL- stable method
Title not available (Why is that?)
Pricing American options under multi-states: a radial basis collocation approach

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