A numerical analysis of American options with regime switching

DOI10.1007/s10915-010-9365-2zbMath1203.65192OpenAlexW1964993393MaRDI QIDQ618604

Hongtao Yang

Publication date: 16 January 2011

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-010-9365-2

zbMATH Keywords

finite element methodfree boundary problemregime switchingAmerican optionlattice method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (14)

A semi-analytic valuation of American options under a two-state regime-switching economy ⋮ 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 ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ A comparison of iterated optimal stopping and local policy iteration for American options under regime switching ⋮ Power penalty approach to American options pricing under regime switching ⋮ A front-fixing finite element method for the valuation of American options with regime switching ⋮ Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method ⋮ FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY ⋮ A local radial basis function method for pricing options under the regime switching model ⋮ Pricing American options under multi-states: a radial basis collocation approach ⋮ Pricing American options under multi-state regime switching with an efficientL- stable method ⋮ A deposit insurance pricing with a multi-state regime-switching volatility

Cites Work

• Unnamed Item
• Unnamed Item
• Derivative securities and difference methods.
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Analysis of a Robust Finite Element Approximation for a Parabolic Equation with Rough Boundary Data
• A Note on the Call-Put Parity and a Call-Put Duality
• Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
• Financial Modelling with Jump Processes
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• A Front-Fixing Finite Element Method for the Valuation of American Options
• Symmetry and duality in Lévy markets

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