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Methods for Pricing American Options under Regime Switching

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References

2005Applied Stochastic Control of Jump Diffusions883 cited
1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
1977The Valuation of American Put Options443 cited
2001A Regime-Switching Model of Long-Term Stock Returns436 cited
2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
1998Penalty methods for American options with stochastic volatility290 cited
2004Robust numerical methods for contingent claims under jump diffusion processes261 cited
2004A penalty method for American options with jump diffusion processes202 cited
2007Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance180 cited
2003Valuation of Convertible Bonds With Credit Risk143 cited
2008Fourier space time-stepping for option pricing with Lévy models139 cited
2006A Regime-Switching Model for European Options131 cited
2010Trend Following Trading under a Regime Switching Model123 cited
2010Is Regime Switching in Stock Returns Important in Portfolio Decisions?119 cited
2009Option pricing with regime switching by trinomial tree method118 cited

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2007

Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model

107 cited

Cited by

2012A radial basis collocation method for pricing American options under regime-switching jump-diffusion models60 cited
2014An optimal stochastic control framework for determining the cost of hedging of variable annuities53 cited
2014Financial options pricing with regime-switching jump-diffusions47 cited
2018COS method for option pricing under a regime-switching model with time-changed Lévy processes40 cited
2019An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models38 cited
2015A new efficient numerical method for solving American option under regime switching model32 cited
2016A high order finite element scheme for pricing options under regime switching jump diffusion processes31 cited
2022American options pricing under regime-switching jump-diffusion models with meshfree finite point method30 cited
2012A front-fixing finite element method for the valuation of American options with regime switching30 cited
2012Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes29 cited
2025From Traditional to Computationally Efficient Scientific Computing Algorithms in Option Pricing: Current Progresses with Future Directions26 cited
2015Pricing American options under multi-state regime switching with an efficientL- stable method26 cited
2017A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models26 cited
2018An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models25 cited
2013NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS24 cited
2017Fourth-Order Compact Finite Difference Scheme for American Option Pricing Under Regime-Switching Jump-Diffusion Models24 cited