A new efficient numerical method for solving American option under regime switching model
type: Item
instance of: scholarly article
title: A new efficient numerical method for solving American option under regime switching model
zbMATH Open document ID: 1443.91327
author: V. N. Egorova
author: R. Company
author: L. Jódar
publication date: 2020-10-11T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 65M22
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 7258751
zbMATH Keywords: American option pricing
zbMATH Keywords: regime switching
zbMATH Keywords: front-fixing transformation
zbMATH Keywords: free boundary
zbMATH Keywords: finite difference methods
zbMATH Keywords: numerical analysis
MaRDI profile type: Publication
full work available at URL: j.camwa.2015.11.019
OpenAlex ID: W2191767628
cites work: Methods for Pricing American Options under Regime Switching
cites work: The pricing of options and corporate liabilities
cites work: AMERICAN OPTIONS WITH REGIME SWITCHING
cites work: Computational Science - ICCS 2004
cites work: Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
cites work: Implications of a regime-switching model on natural gas storage valuation and optimal operation
cites work: A Regime-Switching Model of Long-Term Stock Returns
cites work: Q4375487
cites work: Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
cites work: Option pricing with regime switching by trinomial tree method
cites work: REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
cites work: NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
cites work: Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
cites work: Heat conduction in a melting solid
cites work: Q3338613
cites work: On the numerical solution of nonlinear Black-Scholes equations
cites work: Solving American option pricing models by the front fixing method: numerical analysis and computing
cites work: Constructing positive reliable numerical solution for American call options: a new front-fixing approach
cites work: Mathematical models of financial derivatives
cites work: An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation
cites work: Far field boundary conditions for Black-Scholes equations
cites work: Q3696432
cites work: Q4663944
cites work: High-order compact finite difference scheme for option pricing in stochastic volatility models
cites work: Q3960030
cites work: A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
cites work: Numerical analysis and simulation of option pricing problems modeling illiquid markets
DOI: 10.1016/J.CAMWA.2015.11.019
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7258751