A new efficient numerical method for solving American option under regime switching model-Reference-Cited by-同舟云学术

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A new efficient numerical method for solving American option under regime switching model

Published:2016-01 Issue:1 Volume:71 Page:224-237
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Egorova Vera N.^ORCID,Company Rafael^ORCID,Jódar Lucas^ORCID

Funder

European Union

Ministerio de Economía y Competitividad Spanish

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference34 articles.

1. Methods for pricing American options under regime switching;Huang;SIAM J. Sci. Comput.,2011

2. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

3. American options with regime switching;Buffington;Int. J. Theor. Appl. Finance,2002

4. Modeling electricity prices with regime switching models;Bierbrauer,2004

5. Valuation of stock loans with regime switching;Zhang;SIAM J. Control Optim.,2009

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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. RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients;Numerical Algorithms;2023-12-18

5. Efficiency of Some Predictor–Corrector Methods with Fourth-Order Compact Scheme for a System of Free Boundary Options;Axioms;2023-08-02

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