A numerical analysis of American options with regime switching
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Publication:618604
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)
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- Computing American option price under regime switching with rationality parameter
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Cites work
- scientific article; zbMATH DE number 3491650 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- A Front-Fixing Finite Element Method for the Valuation of American Options
- A Note on the Call-Put Parity and a Call-Put Duality
- AMERICAN OPTIONS WITH REGIME SWITCHING
- 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
- Derivative securities and difference methods.
- Financial Modelling with Jump Processes
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Symmetry and duality in Lévy markets
Cited in
(34)- 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
- An integral equation approach for pricing American put options under regime-switching model
- Power penalty approach to American options pricing under regime switching
- Pricing American options under regime-switching model with a Crank-Nicolson fitted finite volume method
- Pricing American options under multi-states: a radial basis collocation approach
- Numerical methods for system parabolic variational inequalities from regime-switching American option pricing
- Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
- A deposit insurance pricing with a multi-state regime-switching volatility
- A front-fixing finite element method for the valuation of American options with regime switching
- Projection and contraction method for the valuation of American options under regime switching
- Modeling and computation for stochastic optimal regime switching
- Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model
- scientific article; zbMATH DE number 7478906 (Why is no real title available?)
- A lattice method for option evaluation with regime-switching asset correlation structure
- scientific article; zbMATH DE number 7589106 (Why is no real title available?)
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- On the regularity of American options with regime-switching uncertainty
- A new efficient numerical method for solving American option under regime switching model
- A local radial basis function method for pricing options under the regime switching model
- American Option Pricing Using Simulation and Regression: Numerical Convergence Results
- A semi-analytic valuation of American options under a two-state regime-switching economy
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- American options in regime-switching models
- Efficient lattice method for valuing of options with barrier in a regime switching model
- A graphical method for valuing switching options
- Computing American option price under regime switching with rationality parameter
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Methods for pricing American options under regime switching
- Finite maturity American-style stock loans with regime-switching volatility
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
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