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ArticleFinancial options pricing with regime-switching jump-diffusions

Younhee Lee2014

OA

Articlebronze2014

Financial options pricing with regime-switching jump-diffusions

47 citations·0/0 files stored·Computers & Mathematics with Applications

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Stochastic processes and financial applications Differential Equations and Boundary Problems Fuzzy Systems and Optimization

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2002A Jump-Diffusion Model for Option Pricing 1977THE VALUATION OF AMERICAN PUT OPTIONS 1977The Valuation of American Put Options 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models 1998Randomization and the American Put 2002Quadratic Convergence for Valuing American Options Using a Penalty Method 1993Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns

Cited by

2018COS method for option pricing under a regime-switching model with time-changed Lévy processes 2019An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models 2016A high order finite element scheme for pricing options under regime switching jump diffusion processes 2022American options pricing under regime-switching jump-diffusion models with meshfree finite point method 2018An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models

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2018An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion modelsarticle · 11 shared references 2016A high order finite element scheme for pricing options under regime switching jump diffusion processesarticle · 7 shared references 2022American options pricing under regime-switching jump-diffusion models with meshfree finite point methodarticle · 7 shared references 2017Fourth-Order Compact Finite Difference Scheme for American Option Pricing Under Regime-Switching Jump-Diffusion Modelsarticle · 7 shared references 2010The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approacharticle · 6 shared references 2015Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Modelsarticle · 6 shared references

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Year2014

Typearticle

Published2014-07-09

VenueComputers & Mathematics with Applications

ISSN-L0898-1221

Languageen

Citations47

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.camwa.2014.06.015

openalex_workW2053013102

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2017Fourth-Order Compact Finite Difference Scheme for American Option Pricing Under Regime-Switching Jump-Diffusion Models

2017Convergence Analysis of Iterative Laplace Transform Methods for the Coupled PDEs from Regime-Switching Option Pricing