Moving mesh methods for pricing Asian options with regime switching
type: Item
instance of: scholarly article
title: Moving mesh methods for pricing Asian options with regime switching
zbMATH Open document ID: 1409.91278
author: Jingtang Ma
author: Zhiqiang Zhou
published in: Journal of Computational and Applied Mathematics
publication date: 2016-02-04T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65M50
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 6539272
zbMATH Keywords: Asian option pricing
zbMATH Keywords: regime switching
zbMATH Keywords: moving mesh methods
zbMATH Keywords: convergence rates
MaRDI profile type: Publication
full work available at URL: j.cam.2015.11.027
OpenAlex ID: W2214524021
cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
cites work: Analysis of time series subject to changes in regime
cites work: A Regime-Switching Model of Long-Term Stock Returns
cites work: Q4845603
cites work: NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
cites work: Option pricing with regime switching by trinomial tree method
cites work: Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method
cites work: REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
cites work: A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
cites work: A lattice method for option pricing with two underlying assets in the regime-switching model
cites work: Pricing exotic options under regime switching
cites work: Convergence Rates of Moving Mesh Rannacher Methods for PDEs of Asian Options Pricing
cites work: Finite difference scheme with a moving mesh for pricing Asian options
cites work: Adaptive moving mesh methods
cites work: Finite element solution of diffusion problems with irregular data
cites work: Analysis of Some Moving Space-Time Finite Element Methods
DOI: 10.1016/J.CAM.2015.11.027
description: scientific article; zbMATH DE number 6539272