Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
type: Item
instance of: scholarly article
title: Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
zbMATH Open document ID: 1471.65012
DOI: 10.1155/2021/8818876
author: Congyin Fan
author: Pei-Min Chen
published in: Discrete Dynamics in Nature and Society
publication date: 2021-08-19T00:00:00Z
review text: Summary: This paper investigates a numerical method for solving fractional partial integro-differential equations (FPIDEs) arising in American Contingent Claims, which follow finite moment log-stable process (FMLS) with jump diffusion and regime switching. Mathematically, the prices of American Contingent Claims satisfy a system of \(d\) problems with free-boundary values, where \(d\) is the number of regimes of the market. In addition, an optimal exercise boundary is needed to setup with each regime. Therefore, a fully implicit scheme based on the penalty term is arranged. In the end, numerical examples are carried out to verify the obtained theoretical results, and the impacts of state variables in our model on the optimal exercise boundary of American Contingent Claims are analyzed.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7383429
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2021/8818876
OpenAlex ID: W3178931065
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description: scientific article; zbMATH DE number 7383429