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

DOI10.1007/S40324-017-0137-XMaRDI QIDQ725397zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1113626 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A front-fixing finite element method for the valuation of American options with regime switching
• A numerical analysis of American options with regime switching
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Convexity of the optimal stopping boundary for the American put option
• Financial Modelling with Jump Processes
• Methods for pricing American options under regime switching
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• Option pricing in a regime-switching model using the fast Fourier transform
• Option pricing when underlying stock returns are discontinuous
• Option pricing with regime switching by trinomial tree method
• Pricing exotic options under regime switching
• Regime-switching recombining tree for option pricing
• The pricing of options and corporate liabilities
• The pricing of options on assets with stochastic volatilities

Cited in

(5)

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

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