NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS

DOI10.1142/S0219024913500465zbMath1290.91180MaRDI QIDQ5411742

Ionut Florescu, Granville Sewell, Maria Christina Mariani, Ruihua Liu

Publication date: 25 April 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

option pricingnumerical algorithmsregime-switching jump diffusionsystem of partial integro-differential equationsimplicit and explicit finite element methods

Mathematics Subject Classification ID

Related Items (13)

Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models ⋮ An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models ⋮ A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ Unnamed Item ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Pricing European options under stochastic looping contagion risk model ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method ⋮ Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

Cites Work

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