A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
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Publication:6590205
Numerical optimization and variational techniques (65K10) 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) Theoretical approximation in context of PDEs (35A35)
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Cites work
- scientific article; zbMATH DE number 3747703 (Why is no real title available?)
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- A new efficient numerical method for solving American option under regime switching model
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- A numerical analysis of American options with regime switching
- A set of symmetric quadrature rules on triangles and tetrahedra
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An integral equation approach for pricing American put options under regime-switching model
- Approximation in the finite element method
- Augmented Lagrangian methods for nonsmooth, convex optimization in Hilbert spaces
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Computing American option price under regime switching with rationality parameter
- Explicit solutions to European options in a regime-switching economy
- Information and option pricings
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Numerical methods for system parabolic variational inequalities from regime-switching American option pricing
- Projection and contraction method for the valuation of American options under regime switching
- Radial basis functions method for valuing options: a multinomial tree approach
- Regime-switching recombining tree for option pricing
- The Linear Complementarity Problem
- The Primal-Dual Active Set Strategy as a Semismooth Newton Method
- The pricing of options and corporate liabilities
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