An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models

DOI10.1080/00207160.2018.1446526zbMath1481.91220OpenAlexW2791075088MaRDI QIDQ5031851

Kamran Kazmi

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2018.1446526

zbMATH Keywords

option pricingpredictor-corrector methodAmerican options\(L\)-stableregime-switching jump-diffusion model

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) 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)

Related Items (9)

Error analysis of finite difference scheme for American option pricing under regime-switching with jumps ⋮ L^∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing ⋮ 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 ⋮ Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing ⋮ A second order numerical method for the time-fractional Black-Scholes European option pricing model ⋮ Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models ⋮ Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• An adaptive algorithm for solving stochastic multi-point boundary value problems
• Operator splitting methods for pricing American options under stochastic volatility
• Pricing participating products under a generalized jump-diffusion model
• Processes of normal inverse Gaussian type
• Operator splitting methods for American option pricing.
• Numerical valuation of options with jumps in the underlying
• A penalty method for American options with jump diffusion processes
• A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
• Option pricing under regime-switching jump-diffusion models
• Financial options pricing with regime-switching jump-diffusions
• Far Field Boundary Conditions for Black--Scholes Equations
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• AMERICAN OPTIONS WITH REGIME SWITCHING
• A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
• DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS
• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• Methods for Pricing American Options under Regime Switching
• FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• Option Pricing in a Jump-Diffusion Model with Regime Switching
• Efficient Split Linear Multistep Methods for Stiff Ordinary Differential Equations
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Option Pricing With V. G. Martingale Components¹
• COS method for option pricing under a regime-switching model with time-changed Lévy processes
• Information and option pricings
• Robust numerical methods for contingent claims under jump diffusion processes
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
• Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS
• Option pricing when underlying stock returns are discontinuous
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A high order finite element scheme for pricing options under regime switching jump diffusion processes

This page was built for publication: An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models