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International Journal of Computer Mathematics Volume 92, 2015 - Issue 12: Computational Methods in Finance
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SECTION B

Pricing American options under multi-state regime switching with an efficient L- stable method

M. YousufDepartment of Mathematics and Statistics, King Fahd University of Petroleum and Minerals, Dhahran31261, Saudi ArabiaCorrespondence[email protected]
,
A.Q.M. KhaliqDepartment of Mathematical Sciences, Middle Tennessee State University, Murfreesboro, TN37132-0001, USA
&
R.H. LiuDepartment of Mathematics, University of Dayton, 300 College Park, Dayton, OH45469-2316, USA
Pages 2530-2550 | Received 24 Jan 2015, Accepted 10 Jun 2015, Published online: 02 Sep 2015

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Alpesh Kumar & B. V. Rathish Kumar. (2019) A RBF based finite difference method for option pricing under regime-switching jump-diffusion model. International Journal for Computational Methods in Engineering Science and Mechanics 20:5, pages 451-459.
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Jorge Eduardo Macías-Díaz & Bilge İnan. (2019) Numerical efficiency of some exponential methods for an advection–diffusion equation. International Journal of Computer Mathematics 96:5, pages 1005-1029.
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M. Yousuf. (2019) High-order time stepping scheme for pricing American option under Bates model. International Journal of Computer Mathematics 96:1, pages 18-32.
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M. Yousuf. (2018) A second-order efficient L-stable numerical method for space fractional reaction–diffusion equations. International Journal of Computer Mathematics 95:6-7, pages 1408-1422.
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Articles from other publishers (17)

Bong-Gyu Jang & Hyeng Keun Koo. (2024) American put options with regime-switching volatility. Journal of Derivatives and Quantitative Studies: 선물연구.
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Y. Esmaeelzade Aghdam, H. Mesgarani, A. Amin & J. F. Gómez-Aguilar. (2023) An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials. Computational Economics.
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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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Yu-Shan Lin, Weizhong Dai & Ruihua Liu. (2023) An Accurate Compact Finite Difference Scheme for Solving the American Option with M-Regime Switching Model. International Journal of Applied and Computational Mathematics 9:3.
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Xu Chen, Xinxin Gong, Siu-Long Lei & Youfa Sun. (2023) A Preconditioned Iterative Method for a Multi-State Time-Fractional Linear Complementary Problem in Option Pricing. Fractal and Fractional 7:4, pages 334.
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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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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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Fazlollah Soleymani. (2018) Efficient Semi-Discretization Techniques for Pricing European and American Basket Options. Computational Economics 53:4, pages 1487-1508.
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Fazlollah Soleymani. (2018) Pricing multi-asset option problems: a Chebyshev pseudo-spectral method. BIT Numerical Mathematics 59:1, pages 243-270.
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Reza Mollapourasl, Majid Haghi & Ruihua Liu. (2018) Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model. Applied Numerical Mathematics 134, pages 81-104.
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Siu-Long Lei, Wenfei Wang, Xu Chen & Deng Ding. (2017) A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models. Journal of Scientific Computing 75:3, pages 1633-1655.
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Muhammad Yousuf. (2018) Numerical solution of systems of partial integral differential equations with application to pricing options. Numerical Methods for Partial Differential Equations 34:3, pages 1033-1052.
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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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Emmanuel Evarest, Fredrik Berntsson, Martin Singull & Xiangfeng Yang. (2018) Weather derivatives pricing using regime switching model. Monte Carlo Methods and Applications 24:1, pages 13-27.
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Rafael Company, Vera N. Egorova, Lucas Jodar & Fazlollah Soleymani. (2018) A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems. Mathematical Modelling and Analysis 23:1, pages 117-138.
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Xu Chen, Wenfei Wang, Deng Ding & Siu-Long Lei. (2017) A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation. Computers & Mathematics with Applications 73:9, pages 1932-1944.
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Rafael Company, Vera N. Egorova, Mohamed El Fakharany, Lucas Jódar & Fazlollah Soleymani. 2017. Novel Methods in Computational Finance. Novel Methods in Computational Finance 171 214 .

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