A second-order ADI method for pricing options under fractional regime-switching models

DOI10.3934/nhm.2023028MaRDI QIDQ6196447

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Publication date: 14 March 2024

Published in: Networks and Heterogeneous Media (Search for Journal in Brave)

zbMATH Keywords

second-order schemesfractional option pricing modelregime-switching European options pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing for pure jump processes with Markov switching compensators
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• Finite difference approximations for fractional advection-dispersion flow equations
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
• A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
• A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
• An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
• A class of fourth-order Padé schemes for fractional exotic options pricing model
• AMERICAN OPTIONS WITH REGIME SWITCHING
• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• The Numerical Solution of Parabolic and Elliptic Differential Equations
• Stochastic Volatility for Lévy Processes
• Fast algorithms for high-order numerical methods for space-fractional diffusion equations
• Pricing American Options under Regime-Switching Model with a Crank-Nicolson Fitted Finite Volume Method
• A Second Order Numerical Scheme for Fractional Option Pricing Models
• A class of second order difference approximations for solving space fractional diffusion equations
• Option pricing when underlying stock returns are discontinuous
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