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

2015 ◽  
Vol 92 (12) ◽  
pp. 2530-2550 ◽  
Author(s):  
M. Yousuf ◽  
A.Q.M. Khaliq ◽  
R.H. Liu
Keyword(s):  
Regime Switching ◽  
American Options ◽  
Stable Method ◽  
State Regime

scholarly journals An Analytic Approach for Pricing American Options with Regime Switching

2021 ◽  
Vol 14 (5) ◽  
pp. 188
Author(s):  
Leunglung Chan ◽  
Song-Ping Zhu
Keyword(s):  
Regime Switching ◽  
American Options ◽  
Option Price ◽  
Switching Model ◽  
Homotopy Analysis ◽  
State Regime ◽  
Markov Modulated ◽  
Appreciation Rate ◽  
The Interest Rate ◽  
Hidden States

This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the economy which can be interpreted in terms of Markov chains. By means of the homotopy analysis method, an explicit formula for pricing two-state regime-switching American options is presented.

Finite maturity American-style stock loans with regime-switching volatility

2021 ◽  
Vol 63 ◽  
pp. 163-177
Author(s):  
Xiaoping Lu ◽  
Endah R. M. Putri
Keyword(s):  
Regime Switching ◽  
Numerical Experiments ◽  
State Regime ◽  
Volatility Regimes ◽  
American Style

We study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees of the stock loans, under the assumption that the volatility of the underlying is in a state of uncertainty. Numerical experiments are carried out to show the effects of the volatility regimes and other loan parameters. doi:10.1017/S1446181121000250

FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY

2021 ◽  
pp. 1-15
Author(s):  
XIAOPING LU ◽  
ENDAH R. M. PUTRI
Keyword(s):  
Regime Switching ◽  
Numerical Experiments ◽  
State Regime ◽  
Volatility Regimes ◽  
American Style

Abstract We study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees of the stock loans, under the assumption that the volatility of the underlying is in a state of uncertainty. Numerical experiments are carried out to show the effects of the volatility regimes and other loan parameters.

scholarly journals Methods for Pricing American Options under Regime Switching

2011 ◽  
Vol 33 (5) ◽  
pp. 2144-2168 ◽  
Author(s):  
Y. Huang ◽  
P. A. Forsyth ◽  
G. Labahn
Keyword(s):  
Regime Switching ◽  
American Options
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