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International Journal of Computer Mathematics Volume 89, 2012 - Issue 9: COMPUTATIONAL METHODS FOR PDEs IN FINANCE
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Section B

A front-fixing finite element method for the valuation of American options with regime switching

Anthony D. Holmes Deloitte & Touche LLP, 1111 Bagby St. Ste 4500, Houston, TX, 77002, USA
,
Hongtao Yang Department of Mathematical Sciences, University of Nevada, Las Vegas, NV, 89154, USACorrespondence[email protected]
&
Shuhua Zhang Research Center for Mathematics and Economics, Tianjin University of Finance and Economics, Tianjin, 300222, China
Pages 1094-1111 | Received 04 Oct 2011, Accepted 27 Jan 2012, Published online: 21 Mar 2012

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M. Yousuf, A.Q.M. Khaliq & R.H. Liu. (2015) Pricing American options under multi-state regime switching with an efficient L- stable method. International Journal of Computer Mathematics 92:12, pages 2530-2550.
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Articles from other publishers (18)

Haiming Song, Jingbo Xu, Jinda Yang & Yutian Li. (2024) Primal‐dual active set algorithm for valuating American options under regime switching. Numerical Methods for Partial Differential Equations.
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M. YOUSUF & A. Q. M. KHALIQ. (2023) PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING. International Journal of Theoretical and Applied Finance 26:04n05.
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Muhammad Yousuf & Abdul Q. M. Khaliq. (2021) Partial differential integral equation model for pricing American option under multi state regime switching with jumps. Numerical Methods for Partial Differential Equations 39:2, pages 890-912.
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B. B. Idirizov & Yu. D. Kandilarov. Numerical solution of American option pricing problem with volatility regimes. Numerical solution of American option pricing problem with volatility regimes.
Mohammad Shirzadi, Mohammadreza Rostami, Mehdi Dehghan & Xiaolin Li. (2023) American options pricing under regime-switching jump-diffusion models with meshfree finite point method. Chaos, Solitons & Fractals 166, pages 112919.
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Haiming Song, Jingbo Xu, Jinda Yang & Yutian Li. (2022) Projection and contraction method for the valuation of American options under regime switching. Communications in Nonlinear Science and Numerical Simulation 109, pages 106332.
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Rafael Company, Vera N. Egorova, Lucas Jódar & Jorge Peris. (2021) A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model. Mathematical Methods in the Applied Sciences 45:6, pages 3334-3344.
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XIAOPING LU & ENDAH R. M. PUTRI. (2021) FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY. The ANZIAM Journal 63:2, pages 163-177.
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Xiaoping Lu & Endah R.M. Putri. (2020) A semi-analytic valuation of American options under a two-state regime-switching economy. Physica A: Statistical Mechanics and its Applications 538, pages 122968.
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Feng Sun, Cheng Liu & Xiangdong Liu. (2019) “Informational Cycle Cascade” Space Distribution Analyzed with Engineering Finite Element Technology: Based on 2D Coupling Turbulence Model of Investor Sentiment for Industry. “Informational Cycle Cascade” Space Distribution Analyzed with Engineering Finite Element Technology: Based on 2D Coupling Turbulence Model of Investor Sentiment for Industry.
Hengguang Li, Reza Mollapourasl & Majid Haghi. (2018) A Local Radial Basis Function Method for Pricing Options Under the Regime Switching Model. Journal of Scientific Computing 79:1, pages 517-541.
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Majid Haghi, Reza Mollapourasl & Michèle Vanmaele. (2018) An RBF–FD method for pricing American options under jump–diffusion models. Computers & Mathematics with Applications 76:10, pages 2434-2459.
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Luca Vincenzo Ballestra. (2018) Fast and accurate calculation of American option prices. Decisions in Economics and Finance 41:2, pages 399-426.
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S. Heidari & H. Azari. (2017) A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models. Computational and Applied Mathematics 37:3, pages 3691-3707.
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S. Heidari & H. Azari. (2017) Pricing American options under multi-states: a radial basis collocation approach. SeMA Journal 75:2, pages 365-378.
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M. Yousuf, A.Q.M. Khaliq & Salah Alrabeei. (2018) Solving complex PIDE systems for pricing American option under multi-state regime switching jump–diffusion model. Computers & Mathematics with Applications 75:8, pages 2989-3001.
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Farzad Alavi Fard & Tak Kuen Siu. (2013) Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach. Insurance: Mathematics and Economics 53:3, pages 712-721.
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Carl Chiarella, Christina Nikitopoulos Sklibosios, Erik Schlogl & Hongang Yang. (2016) Pricing American Options Under Regime Switching Using Method of Lines. SSRN Electronic Journal.
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