A regime-switching model with the volatility smile for two-asset European options

DOI10.1016/J.AUTOMATICA.2013.12.019zbMath1367.91194OpenAlexW2149175325MaRDI QIDQ462338

Darae Jeong, Junseok Kim, Dong-Hoon Shin

Publication date: 20 October 2014

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2013.12.019

zbMATH Keywords

finite difference methodvolatility smileregime-switching modeloperator splitting method

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) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Operator splitting methods for American option pricing.
• A comparison study of ADI and operator splitting methods on option pricing models
• Stock Trading: An Optimal Selling Rule
• AMERICAN OPTIONS WITH REGIME SWITCHING
• ADI as a Preconditioning for Solving the Convection-Diffusion Equation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• ADI finite difference schemes for option pricing in the Heston model with correlation

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