Financial options pricing with regime-switching jump-diffusions
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Publication:2398904
DOI10.1016/j.camwa.2014.06.015zbMath1369.91192OpenAlexW2053013102MaRDI QIDQ2398904
Publication date: 21 August 2017
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2014.06.015
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- Quadratic Convergence for Valuing American Options Using a Penalty Method
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- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- Methods for Pricing American Options under Regime Switching
- Fourier space time-stepping for option pricing with Lévy models
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Randomization and the American Put
- A simple iterative method for the valuation of American options
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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