A Legendre-Galerkin spectral method for option pricing under regime switching models

DOI10.1016/j.rinam.2024.100505MaRDI QIDQ6657384

Nadia Raissi, Abdelmajid Ezzine, Abdellah Alla

Publication date: 6 January 2025

Published in: Results in Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes modelnumerical simulationsEuropean optionsregime-switching modelpricing optionscoupled PDEsLegendre-Galerkin spectral methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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