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A high order finite element scheme for pricing options under regime switching jump diffusion processes

  • Published:2016-07 Issue: Volume:300 Page:83-96
  • ISSN:0377-0427
  • Container-title:Journal of Computational and Applied Mathematics
  • language:en
  • Short-container-title:Journal of Computational and Applied Mathematics

Author:

Rambeerich Nisha,Pantelous Athanasios A.

Funder

School of Physical Sciences, University of Liverpool, United Kingdom

EPSRC

ESRC Centre for Doctoral Training on Quantification and Management of Risk & Uncertainty in Complex Systems & Environments

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference32 articles.

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

2. Theory of rational option pricing;Merton;Bell J. Econ. Manage. Sci.,1973

3. New methods in statistical economics;Mandelbrot;J. Polit. Econ.,1963

4. The variation of certain speculative prices;Mandelbrot;J. Bus.,1963

5. Russian and American put options under exponential phase-type Lévy models;Asmussen;Stochastic Process. Appl.,2004

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