Error analysis of finite difference scheme for American option pricing under regime-switching with jumps

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)

Cites Work

Unnamed Item
Unnamed Item
The Pricing of Options and Corporate Liabilities
A Jump-Diffusion Model for Option Pricing
A regime switching long memory model for electricity prices
An adaptive algorithm for solving stochastic multi-point boundary value problems
A new method for a class of linear variational inequalities
On the stability of implicit-explicit linear multistep methods
Numerical valuation of options with jumps in the underlying
Eigenvalues of tridiagonal pseudo-Toeplitz matrices
Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
A spectral element method for option pricing under regime-switching with jumps
Financial options pricing with regime-switching jump-diffusions
AMERICAN OPTIONS WITH REGIME SWITCHING
Trend Following Trading under a Regime Switching Model
NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
A Fast Numerical Method for the Black--Scholes Equation of American Options
CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
Implicit-Explicit Methods for Time-Dependent Partial Differential Equations
An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models
Computational Methods for Option Pricing
A Front-Fixing Finite Element Method for the Valuation of American Options
Option pricing when underlying stock returns are discontinuous
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
A Regime-Switching Model of Long-Term Stock Returns
Optimal stopping, free boundary, and American option in a jump-diffusion model
A high order finite element scheme for pricing options under regime switching jump diffusion processes

This page was built for publication: Error analysis of finite difference scheme for American option pricing under regime-switching with jumps