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A Numerical Analysis of American Options with Regime Switching · Study

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ArticleA Numerical Analysis of American Options with Regime Switching

Hongtao Yang2010

Article2010

A Numerical Analysis of American Options with Regime Switching

31 citations·0/0 files stored·Journal of Scientific Computing

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Capital Investment and Risk Analysis

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References

2003Financial Modelling with Jump Processes 1987Efficient Analytic Approximation of American Option Values 2000Derivatives in Financial Markets with Stochastic Volatility 2002AMERICAN OPTIONS WITH REGIME SWITCHING 2004Closed-Form Solutions for Perpetual American Put Options with Regime Switching 2008A Front-Fixing Finite Element Method for the Valuation of American Options 2006Symmetry and duality in Lévy markets 2001Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation

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2012A front-fixing finite element method for the valuation of American options with regime switching 2015Pricing American options under multi-state regime switching with an efficientL- stable method

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2012A front-fixing finite element method for the valuation of American options with regime switchingarticle · 4 shared references 2005Fair valuation of participating policies with surrender options and regime switchingarticle · 3 shared references 2009NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHINGarticle · 3 shared references 2007Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineeringchapter · 3 shared references 2006Option pricing in a regime‐switching model using the fast Fourier transformarticle · 3 shared references 2008A Front-Fixing Finite Element Method for the Valuation of American Optionsarticle · 3 shared references

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Year2010

Typearticle

Published2010-04-26

VenueJournal of Scientific Computing

ISSN-L0885-7474

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10915-010-9365-2

openalex_workW1964993393

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