Numerical schemes for pricing Asian options under state-dependent regime-switching jump–diffusion models

Computers & Mathematics with Applications ◽

10.1016/j.camwa.2015.12.017 ◽

2016 ◽

Vol 71 (1) ◽

pp. 443-458 ◽

Author(s):

Duy-Minh Dang ◽

Duy Nguyen ◽

Granville Sewell

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Asian Options ◽

Numerical Schemes ◽

State Dependent

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Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models

SSRN Electronic Journal ◽

10.2139/ssrn.2571507 ◽

2015 ◽

Author(s):

Duy-Minh Dang ◽

Duy Nguyen ◽

Granville Sewell

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Asian Options ◽

Numerical Schemes ◽

State Dependent

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Convergence of the binomial tree method for Asian options in jump-diffusion models

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2006.07.042 ◽

2007 ◽

Vol 330 (1) ◽

pp. 10-23 ◽

Author(s):

Kwang Ik Kim ◽

Xiao-song Qian

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Asian Options ◽

Binomial Tree ◽

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Small-time expansions for state-dependent local jump–diffusion models with infinite jump activity

Stochastic Processes and their Applications ◽

10.1016/j.spa.2018.02.001 ◽

2018 ◽

Vol 128 (12) ◽

pp. 4207-4245

Author(s):

José E. Figueroa-López ◽

Yankeng Luo

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

State Dependent

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An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

Mathematical Methods in the Applied Sciences ◽

10.1002/mma.5539 ◽

2019 ◽

Vol 42 (8) ◽

pp. 2646-2663 ◽

Author(s):

Yingzi Chen ◽

Aiguo Xiao ◽

Wansheng Wang

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Compact Scheme ◽

Pricing Options

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A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models

Computational and Applied Mathematics ◽

10.1007/s40314-017-0540-z ◽

2017 ◽

Vol 37 (3) ◽

pp. 3691-3707 ◽

Author(s):

S. Heidari ◽

H. Azari

Keyword(s):

Finite Element Method ◽

Finite Element ◽

Regime Switching ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

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Option pricing under regime-switching jump–diffusion models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2013.07.046 ◽

2014 ◽

Vol 256 ◽

pp. 152-167 ◽

Author(s):

Massimo Costabile ◽

Arturo Leccadito ◽

Ivar Massabó ◽

Emilio Russo

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models

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A tree approach to options pricing under regime-switching jump diffusion models

International Journal of Computer Mathematics ◽

10.1080/00207160.2015.1073266 ◽

2015 ◽

Vol 92 (12) ◽

pp. 2575-2595 ◽

Author(s):

R.H. Liu ◽

D. Nguyen

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Options Pricing ◽

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VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models

Journal of Mathematical Finance ◽

10.4236/jmf.2013.31009 ◽

2013 ◽

Vol 03 (01) ◽

pp. 103-109 ◽

Author(s):

Alessandro Ramponi

Keyword(s):

Risk Management ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models

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Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2013.09.015 ◽

2013 ◽

Vol 53 (3) ◽

pp. 733-746 ◽

Author(s):

Zhuo Jin ◽

G. Yin ◽

Fuke Wu

Keyword(s):

Numerical Methods ◽

Differential Game ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Stochastic Differential Game ◽

Optimal Reinsurance

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Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models

Numerical Algorithms ◽

10.1007/s11075-021-01174-x ◽

2021 ◽

Author(s):

Yong Chen

Keyword(s):

Differential Equations ◽

Option Pricing ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Second Order ◽

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