Projection and contraction method for the valuation of American options under regime switching
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modeling and Simulation,Numerical Analysis
Reference29 articles.
1. The pricing of options and corporate liabilities;Black;J Polit Econ,1973
2. A new approach to the economic analysis of nonstationary time series and the business cycle;Hamilton;Econometrica,1989
3. American options with regime switching;Buffington;Int J Theor Appl Finance,2002
4. A regime switching long memory model for electricity prices;Haldrup;J Econometrics,2006
5. Trend following trading under a regime switching model;Dai;SIAM J Financial Math,2010
Cited by 7 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. A generalized integral equation formulation for pricing American options under regime-switching model;Journal of Computational and Applied Mathematics;2025-01
2. A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis;Computational and Applied Mathematics;2024-07-26
3. Primal‐dual active set algorithm for valuating American options under regime switching;Numerical Methods for Partial Differential Equations;2024-04-18
4. Error analysis of finite difference scheme for American option pricing under regime-switching with jumps;Journal of Computational and Applied Mathematics;2024-02
5. An integral equation approach for pricing American put options under regime-switching model;International Journal of Computer Mathematics;2023-03-20
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3