Computing American option price under regime switching with rationality parameter

DOI10.1016/J.CAMWA.2016.05.026zbMath1410.91480OpenAlexW2415574096MaRDI QIDQ520865

Carlos Vázquez, Rafael Company, Vera N. Egorova, Lucas Jodar

Publication date: 6 April 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.05.026

zbMATH Keywords

numerical analysispartial differential systemcomputingAmerican regime-switching option pricingrational exerciseweighted finite difference scheme

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) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ Partial differential integral equation model for pricing American option under multi state regime switching with jumps ⋮ An ETD method for multi‐asset American option pricing under jump‐diffusion model ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources

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