A spectral element method for option pricing under regime-switching with jumps
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Publication:2189667
DOI10.1007/s10915-020-01252-7zbMath1442.65463OpenAlexW3034882149MaRDI QIDQ2189667
Jingtang Ma, Geraldine Tour, Nawdha Thakoor, Désiré Yannick Tangman
Publication date: 16 June 2020
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-020-01252-7
spectral element methodoption pricingexponential time integrationregime-switchingMerton jump-diffusion model
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Error analysis of finite difference scheme for American option pricing under regime-switching with jumps ⋮ Partial differential integral equation model for pricing American option under multi state regime switching with jumps ⋮ 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
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