A high order finite element scheme for pricing options under regime switching jump diffusion processes

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2015.12.019 ◽

2016 ◽

Vol 300 ◽

pp. 83-96 ◽

Author(s):

Nisha Rambeerich ◽

Athanasios A. Pantelous

Keyword(s):

Finite Element ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Finite Element Scheme ◽

Element Scheme ◽

Pricing Options ◽

Jump Diffusion Processes

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A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes

International Journal of Computer Mathematics ◽

10.1080/00207160.2013.867954 ◽

2014 ◽

Vol 91 (10) ◽

pp. 2163-2184 ◽

Author(s):

Jun Liu ◽

Hai-Wei Sun

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Pricing Options ◽

Jump Diffusion Processes

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A new high-order compact scheme for American options under jump-diffusion processes

International Journal of Business Intelligence and Data Mining ◽

10.1504/ijbidm.2013.059261 ◽

2013 ◽

Vol 8 (4) ◽

pp. 363

Author(s):

Radha Krishn Coonjobeharry ◽

Désiré Yannick Tangman ◽

Muddun Bhuruth

Keyword(s):

Diffusion Processes ◽

American Options ◽

Jump Diffusion ◽

Compact Scheme ◽

Jump Diffusion Processes ◽

High Order Compact Scheme

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Option Pricing Under Jump-Diffusion Processes with Regime Switching

Methodology And Computing In Applied Probability ◽

10.1007/s11009-015-9462-7 ◽

2015 ◽

Vol 18 (3) ◽

pp. 829-845 ◽

Author(s):

Nikita Ratanov

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump–diffusion processes

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2020.113132 ◽

2021 ◽

Vol 383 ◽

pp. 113132

Author(s):

Z. Ahmadi ◽

S.M. Hosseini ◽

A. Foroush Bastani

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

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Stability of regime-switching jump diffusion processes

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2019.123727 ◽

2020 ◽

Vol 484 (1) ◽

pp. 123727 ◽

Author(s):

Huijie Ji ◽

Jinghai Shao ◽

Fubao Xi

Keyword(s):

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Perpetual debt pricing under jump diffusion processes with regime switching

2011 2nd International Conference on Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC) ◽

10.1109/aimsec.2011.6011046 ◽

2011 ◽

Author(s):

XianFeng Jiang ◽

YiFeng He

Keyword(s):

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Debt Pricing ◽

Jump Diffusion Processes

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A finite element scheme with a high order absorbing boundary condition for elastodynamics

Computer Methods in Applied Mechanics and Engineering ◽

10.1016/j.cma.2011.03.006 ◽

2011 ◽

Vol 200 (23-24) ◽

pp. 2048-2066 ◽

Author(s):

Daniel Rabinovich ◽

Dan Givoli ◽

Jacobo Bielak ◽

Thomas Hagstrom

Keyword(s):

Boundary Condition ◽

Finite Element ◽

Absorbing Boundary Condition ◽

Finite Element Scheme ◽

Absorbing Boundary ◽

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Simple high-order Galerkin finite element scheme for the investigation of both guided and leaky modes in anisotropic planar waveguides

Optical and Quantum Electronics ◽

10.1023/b:oqel.0000015643.52433.f0 ◽

2004 ◽

Vol 36 (1-3) ◽

pp. 239-257 ◽

Author(s):

H.P. Uranus ◽

H.J.W.M. Hoekstra ◽

E. Van Groesen

Keyword(s):

Finite Element ◽

Planar Waveguides ◽

Finite Element Scheme ◽

Galerkin Finite Element ◽

Element Scheme ◽

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On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes

Nonlinear Analysis Hybrid Systems ◽

10.1016/j.nahs.2020.100946 ◽

2020 ◽

Vol 38 ◽

pp. 100946

Author(s):

Khwanchai Kunwai ◽

Chao Zhu

Keyword(s):

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

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Pricing options under jump diffusion processes with fitted finite volume method

Applied Mathematics and Computation ◽

10.1016/j.amc.2007.12.043 ◽

2008 ◽

Vol 201 (1-2) ◽

pp. 398-413 ◽

Author(s):

Kai Zhang ◽

Song Wang

Keyword(s):

Finite Volume Method ◽

Finite Volume ◽

Diffusion Processes ◽

Jump Diffusion ◽

Pricing Options ◽

Jump Diffusion Processes ◽

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