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Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
16 references·4 citing·39 second hop
Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (2012)Solving complex PDE systems for pricing A…Methods for Pricing American Options under Regime Switching (2011)Methods for Pricing American …Hybrid Switching Diffusions: Properties and Applications (2010)Hybrid Switching Diffusions: …NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING (2009)NEW NUMERICAL SCHEME FOR PRIC…Hybrid Switching Diffusions (2009)Hybrid Switching DiffusionsPenalty methods for the numerical solution of American multi-asset option problems (2007)Penalty methods for the numer…Pricing exotic options under regime switching (2006)Pricing exotic options under …A Regime-Switching Model for European Options (2006)A Regime-Switching Model for …Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Closed-Form Solutions for Per…Quadratic Convergence for Valuing American Options Using a Penalty Method (2002)Quadratic Convergence for Val…Penalty and front-fixing methods for the numerical solution of American option problems (2002)Penalty and front-fixing meth…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Information and option pricings (2001)Information and option pricin…A Regime-Switching Model of Long-Term Stock Returns (2001)A Regime-Switching Model of L…Valuing Options in Regime-Switching Models (1998)Valuing Options in Regime-Swi…Penalty methods for American options with stochastic volatility (1998)Penalty methods for American …An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models (2018)An IMEX predictor–corrector m…A fast numerical method to price American options under the Bates model (2016)A fast numerical method to pr…Pricing American options under multi-state regime switching with an efficientL- stable method (2015)Pricing American options unde…NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS (2013)NUMERICAL SCHEMES FOR OPTION …Efficient Analytic Approximation of American Option Values (1987)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)The Pricing of Options and Corporate Liabilities (1973)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)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)A penalty method for American options with jump diffusion processes (2004)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)“Options, Futures, and Other Derivatives” (2016)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model (2008)Real option valuation in renewable energy literature: Research focus, trends and design (2017)Option pricing: A simplified approach (1979)Continuous Auctions and Insider Trading (1985)An explicit solution to an optimal stopping problem with regime switching (2001)The Skorokhod embedding problem and its offspring (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Online portfolio selection (2014)Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods (2013)Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space (2015)Certain properties related to well posedness of switching diffusions (2017)Real Options and Product Life Cycles (1999)Flexible contracts to cope with uncertainty in public–private partnerships (2012)Optimal design of feed-in-tariffs to stimulate renewable energy investments under regulatory uncertainty — A real options analysis (2014)REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING (2010)Positive recurrence of piecewise Ornstein–Uhlenbeck processes and common quadratic Lyapunov functions (2013)Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems (2020)
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References

  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2001A Regime-Switching Model of Long-Term Stock Returns436 cited
  • 2009Hybrid Switching Diffusions434 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 2010Hybrid Switching Diffusions: Properties and Applications383 cited
  • 2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
  • 1998Penalty methods for American options with stochastic volatility290 cited
  • 2001Information and option pricings273 cited
  • 1998Valuing Options in Regime-Switching Models231 cited
  • 2004Closed-Form Solutions for Perpetual American Put Options with Regime Switching228 cited
  • 2002Penalty and front-fixing methods for the numerical solution of American option problems175 cited
  • 2006Pricing exotic options under regime switching134 cited
  • 2006A Regime-Switching Model for European Options131 cited
  • 2009NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING85 cited
  • 2007Penalty methods for the numerical solution of American multi-asset option problems84 cited
  • 2011

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Methods for Pricing American Options under Regime Switching
79 cited

Cited by

  • 2016A fast numerical method to price American options under the Bates model28 cited
  • 2015Pricing American options under multi-state regime switching with an efficientL- stable method26 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