Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients

DOI10.1051/M2AN/2019035MaRDI QIDQ4972114zbMATH OpenOpenAlexWikidataFDO

Authors Sunju Lee, Younhee Lee

Publication date 22 November 2019

Published in ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/m2an/2019035

zbMATH Keywords

finite difference methodsoption pricingregime-switching jump-diffusion modelsvariable coefficients

Mathematics Subject Classification ID

Integro-differential operators (47G20) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A high order finite element scheme for pricing options under regime switching jump diffusion processes
• A jump-diffusion model for option pricing
• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• Computational Methods for Option Pricing
• Financial options pricing with regime-switching jump-diffusions
• Fourier space time-stepping for option pricing with Lévy models
• Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• IMEX schemes for pricing options under jump-diffusion models
• Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset
• Operator splitting methods for American option pricing.
• Option pricing under regime-switching jump-diffusion models
• Option pricing when underlying stock returns are discontinuous
• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
• Stability of an implicit method to evaluate option prices under local volatility with jumps

Cited in

(9)

• Penalty method for indifference pricing of American option in a liquidity switching market
• Financial options pricing with regime-switching jump-diffusions
• Numerical solutions for jump-diffusions with regime switching
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
• Real option pricing under the regime-switching model with jumps on a finite time horizon
• Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
• Numerical valuation of American options with liquidity shocks using IMEX methods
• Stability and error estimates of operator-splitting methods for pricing American option under regime-switching model with jumps

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