A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models

DOI10.1007/s40314-017-0540-zzbMath1404.65090OpenAlexW2768977014MaRDI QIDQ1993643

S. Heidari, Hossein Azari

Publication date: 5 November 2018

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

Full work available at URL: https://doi.org/10.1007/s40314-017-0540-z

zbMATH Keywords

finite element methodfree boundary problemAmerican optionjump-diffusion modelregime-switching modelfront-fixing method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical computation of solutions to systems of equations (65H10) 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) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with low regular coefficients and/or low regular data (35R05) Free boundary problems for PDEs (35R35) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

Related Items (8)

An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models ⋮ A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems ⋮ Unnamed Item ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options ⋮ A second-order ADI method for pricing options under fractional regime-switching models ⋮ Unnamed Item ⋮ Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method

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