Pricing American options under multi-states: a radial basis collocation approach

DOI10.1007/S40324-017-0137-XzbMATH Open1395.65018OpenAlexW2766599198MaRDI QIDQ725397FDOQ725397

Authors: S. Heidari, Hossein Azari 

Publication date: 1 August 2018

Published in: S\(\vec{\text{e}}\)MA Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40324-017-0137-x

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zbMATH Keywords

American optionfree boundary problemradial basis functionsregime-switching model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Direct numerical methods for linear systems and matrix inversion (65F05) Numerical methods (including Monte Carlo methods) (91G60) Iterative numerical methods for linear systems (65F10) Free boundary problems for PDEs (35R35) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)

Cites Work

• The pricing of options and corporate liabilities
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• Option pricing in a regime-switching model using the fast Fourier transform
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• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• Option pricing with regime switching by trinomial tree method
• Regime-switching recombining tree for option pricing
• A front-fixing finite element method for the valuation of American options with regime switching

Cited In (6)

• A local radial basis function method for pricing options under the regime switching model
• Meshless collocation method for option pricing by variance gamma model
• Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
• An adaptive algorithm for solving stochastic multi-point boundary value problems
• A greedy algorithm for partition of unity collocation method in pricing American options
• Pricing real estate index options by compactly supported radial-polynomial basis point interpolation

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