Pricing American Options under Regime-Switching Model with a Crank-Nicolson Fitted Finite Volume Method

DOI10.4208/EAJAM.170919.221219zbMath1470.91326OpenAlexW3034603848MaRDI QIDQ4986613

Xiao-Ting Gan, Jun-Feng Yin

Publication date: 27 April 2021

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.170919.221219

zbMATH Keywords

Markov chainsAmerican option pricingstochastic differential equationsCrank-Nicolson schemefitted finite volume methodHamilton regime-switching model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (4)

On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ A second-order ADI method for pricing options under fractional regime-switching models ⋮ Penalty method for indifference pricing of American option in a liquidity switching market ⋮ Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization

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• Trend Following Trading under a Regime Switching Model
• Computational Science - ICCS 2004

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