A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis

DOI10.1007/S40314-024-02862-9MaRDI QIDQ6590205zbMATH OpenFDO

Authors Xin Wen, Haiming Song, Yu-Tian Li, Zihan Gao

Publication date 21 August 2024

Published in Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S40314-024-02862-9

zbMATH Keywords

American optionsfinite difference methodprimal-dual active set methodregime switching

Mathematics Subject Classification ID

Theoretical approximation in context of PDEs (35A35) 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)

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Cites work

• 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
• scientific article; zbMATH DE number 3747703 (Why is no real title available?)
• 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 pricing of options and corporate liabilities
• The Primal-Dual Active Set Strategy as a Semismooth Newton Method

Cited in

(1)

• An efficient numerical scheme on nonuniform grids for a normalized time-fractional Black-Scholes equation

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