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A Numerical Analysis of American Options with Regime Switching
10 references·2 citing·28 second hop
A Numerical Analysis of American Options with Regime Switching (2010)A Numerical Analysis of American Options …Derivative Securities and Difference Methods (2013)Derivative Securities and Dif…A Front-Fixing Finite Element Method for the Valuation of American Options (2008)A Front-Fixing Finite Element…Symmetry and duality in Lévy markets (2006)Symmetry and duality in Lévy …Derivative Securities and Difference Methods (2004)Derivative Securities and Dif…Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Closed-Form Solutions for Per…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation (2001)Finite Element Error Estimate…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Pricing American options under multi-state regime switching with an efficientL- stable method (2015)Pricing American options unde…A front-fixing finite element method for the valuation of American options with regime switching (2012)A front-fixing finite element…Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Adaptive θ -methods for pricing American options (2007)Optimal convergence rate of the explicit finite difference scheme for American option valuation (2009)On the Use of Policy Iteration as an Easy Way of Pricing American Options (2012)The Pricing of Options and Corporate Liabilities (1973)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Stochastic Differential Equations (2003)Option Pricing With Markov-Modulated Dynamics (2006)Brownian Motion and Stochastic Calculus (2007)EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009)Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2012)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)Valuation of American Continuous-Installment Options (2005)A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method (2013)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Option pricing and Esscher transform under regime switching (2005)Finite-Element Methods (2012)Symmetric martingales and symmetric smiles (2009)Detection of changes in a random financial sequence with a stable distribution (2010)Multivariate Extension of Put-Call Symmetry (2010)
this work references cited by second hop

References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2004Closed-Form Solutions for Perpetual American Put Options with Regime Switching228 cited
  • 2008A Front-Fixing Finite Element Method for the Valuation of American Options56 cited
  • 2006Symmetry and duality in Lévy markets51 cited
  • 2001Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation51 cited
  • 2004Derivative Securities and Difference Methods45 cited
  • 2013Derivative Securities and Difference Methods45 cited

Cited by

  • 2012A front-fixing finite element method for the valuation of American options with regime switching30 cited
  • 2015Pricing American options under multi-state regime switching with an efficientL- stable method26 cited

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