PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING

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) Fractional partial differential equations (35R11)

Cites Work

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The Pricing of Options and Corporate Liabilities
A penalty method for a fractional order parabolic variational inequality governing American put option valuation
Crank-Nicolson method for the fractional diffusion equation with the Riesz fractional derivative
A predictor-corrector approach for pricing American options under the finite moment log-stable model
Option pricing and Esscher transform under regime switching
Exponential time differencing for stiff systems
Riesz potential operators and inverses via fractional centred derivatives
Martingales and stochastic integrals in the theory of continuous trading
A new class of time discretization schemes for the solution of nonlinear PDEs
Penalty methods for American options with stochastic volatility
Ergodicity and first passage probability of regime-switching geometric Brownian motions
A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
Exponential Runge-Kutta methods for parabolic problems.
A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
A class of fourth-order Padé schemes for fractional exotic options pricing model
Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
A regime switching fractional Black-Scholes model and European option pricing
A Monte-Carlo based approach for pricing credit default swaps with regime switching
A finite difference method for pricing European and American options under a geometric Lévy process
Pricing American options under multi-state regime switching with an efficientL- stable method
An ETD Crank-Nicolson method for reaction-diffusion systems
AMERICAN OPTIONS WITH REGIME SWITCHING
Trend Following Trading under a Regime Switching Model
Methods for Pricing American Options under Regime Switching
Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
COS method for option pricing under a regime-switching model with time-changed Lévy processes
A front-fixing finite element method for the valuation of American options with regime switching
The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost
A Second Order Numerical Scheme for Fractional Option Pricing Models
A Regime-Switching Model of Long-Term Stock Returns

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