Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing

DOI10.1007/s10915-017-0604-7zbMath1404.65096OpenAlexW2768971556MaRDI QIDQ1651338

Zhiqiang Zhou, Jingtang Ma

Publication date: 12 July 2018

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-017-0604-7

zbMATH Keywords

Laplace transformconvergence ratesoption pricingiteration algorithmregime-switchingnumerical contour integral

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Free boundary problems for PDEs (35R35)

Related Items (7)

Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models ⋮ VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS ⋮ Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ Pricing European options under stochastic looping contagion risk model ⋮ Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing ⋮ Laplace transform method for pricing American CEV strangles option with two free boundaries

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