Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model

DOI10.1016/j.camwa.2018.01.026zbMath1415.91322OpenAlexW2789586952MaRDI QIDQ1999691

Muhammad Irfan Yousuf, Salah Alrabeei, Abdul Q. M. Khaliq

Publication date: 27 June 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2018.01.026

zbMATH Keywords

regime switchingAmerican optionsjump-diffusion\(L\)-stable methodspartial integral differential equations

Mathematics Subject Classification ID

Related Items (11)

A new approach for pricing discounted American options ⋮ Error analysis of finite difference scheme for American option pricing under regime-switching with jumps ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Unnamed Item ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Pricing European options under stochastic looping contagion risk model ⋮ Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method ⋮ An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models ⋮ Penalty method for indifference pricing of American option in a liquidity switching market ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm

Cites Work

• Unnamed Item
• Unnamed Item
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Option pricing and Esscher transform under regime switching
• Exponential time differencing for stiff systems
• Option pricing in a regime-switching model using the fast Fourier transform
• Exponential time integration for fast finite element solutions of some financial engineering problems
• A new class of time discretization schemes for the solution of nonlinear PDEs
• Penalty methods for American options with stochastic volatility
• Numerical valuation of options with jumps in the underlying
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Pricing American options under multi-state regime switching with an efficientL- stable method
• An ETD Crank-Nicolson method for reaction-diffusion systems
• An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
• Trend Following Trading under a Regime Switching Model
• Methods for Pricing American Options under Regime Switching
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• A front-fixing finite element method for the valuation of American options with regime switching
• The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost
• Option pricing when underlying stock returns are discontinuous
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A Regime-Switching Model of Long-Term Stock Returns

This page was built for publication: Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model