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A front-fixing finite element method for the valuation of American options with regime switching
9 references·1 citing·39 second hop
A front-fixing finite element method for the valuation of American options with regime switching (2012)A front-fixing finite element method for …Methods for Pricing American Options under Regime Switching (2011)Methods for Pricing American …A Numerical Analysis of American Options with Regime Switching (2010)A Numerical Analysis of Ameri…Option pricing with regime switching by trinomial tree method (2009)Option pricing with regime sw…NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING (2009)NEW NUMERICAL SCHEME FOR PRIC…A Front-Fixing Finite Element Method for the Valuation of American Options (2008)A Front-Fixing Finite Element…Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Closed-Form Solutions for Per…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …American options on assets with dividends near expiry (2002)American options on assets wi…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 Regime-Switching Model of Long-Term Stock Returns (2001)Term Structure of Interest Rates with Regime Shifts (2002)A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models (2017)Derivatives in Financial Markets with Stochastic Volatility (2000)Financial Modelling with Jump Processes (2003)Option pricing: A simplified approach (1979)Methods of Mathematical Finance (1998)Monte Carlo Methods in Financial Engineering (2003)REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING (2010)A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (2017)THE VALUATION OF AMERICAN PUT OPTIONS (1977)The Valuation of American Put Options (1977)Applied Stochastic Control of Jump Diffusions (2005)A radial basis collocation method for pricing American options under regime-switching jump-diffusion models (2012)An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014)Financial options pricing with regime-switching jump-diffusions (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Integer-valued Lévy processes and low latency financial econometrics (2012)Option pricing under regime-switching jump–diffusion models (2013)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)Theory of rational option pricing (2005)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)On optimal stopping and free boundary problems (1976)The Analytic Valuation of American Options (1990)Option pricing: Mathematical models and computation (1994)Pricing American options under stochastic volatility and stochastic interest rates (2010)A predictor–corrector scheme based on the ADI method for pricing American puts with stochastic volatility (2011)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)An efficient finite element method for pricing American multi-asset put options (2015)
this work references cited by second hop

References

  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2004Closed-Form Solutions for Perpetual American Put Options with Regime Switching228 cited
  • 2002American options on assets with dividends near expiry119 cited
  • 2009Option pricing with regime switching by trinomial tree method118 cited
  • 2009NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING85 cited
  • 2011Methods for Pricing American Options under Regime Switching79 cited
  • 2008A Front-Fixing Finite Element Method for the Valuation of American Options56 cited
  • 2010A Numerical Analysis of American Options with Regime Switching31 cited

Cited by

  • 2015Pricing American options under multi-state regime switching with an efficientL- stable method26 cited

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