A high order finite element scheme for pricing options under regime switching jump diffusion processes

DOI10.1016/j.cam.2015.12.019zbMath1331.91194OpenAlexW2228123221MaRDI QIDQ5964596

Athanasios A. Pantelous, Nisha Rambeerich

Publication date: 29 February 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.12.019

zbMATH Keywords

finite element methodEuropean and American optionexponential time integrationregime switching model

Mathematics Subject Classification ID

Related Items (21)

Isogeometric analysis in option pricing ⋮ An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models ⋮ COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK ⋮ Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model ⋮ Error analysis of finite difference scheme for American option pricing under regime-switching with jumps ⋮ Partial differential integral equation model for pricing American option under multi state regime switching with jumps ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Unnamed Item ⋮ Pricing American options under Azzalini Ito-McKean skew Brownian motions ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach ⋮ Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method ⋮ A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models ⋮ Pricing discretely-monitored double barrier options with small probabilities of execution ⋮ An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models ⋮ Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients ⋮ Numerical solutions of Black-Scholes integro-differential equations with convergence analysis ⋮ Numerical study for European option pricing equations with non-levy jumps

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