An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models

International Journal of Computer Mathematics ◽

10.1080/00207160.2018.1446526 ◽

2018 ◽

Vol 96 (6) ◽

pp. 1137-1157 ◽

Author(s):

Kamran Kazmi

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Pricing Options ◽

Predictor Corrector

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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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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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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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Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

Operations Research ◽

10.1287/opre.1070.0419 ◽

2008 ◽

Vol 56 (2) ◽

pp. 304-325 ◽

Author(s):

Liming Feng ◽

Vadim Linetsky

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Pricing Options

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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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IMEX schemes for pricing options under jump–diffusion models

Applied Numerical Mathematics ◽

10.1016/j.apnum.2014.05.007 ◽

2014 ◽

Vol 84 ◽

pp. 33-45 ◽

Author(s):

Santtu Salmi ◽

Jari Toivanen

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Pricing Options ◽

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Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models

Computational Economics ◽

10.1007/s10614-016-9563-6 ◽

2016 ◽

Vol 47 (4) ◽

pp. 623-643 ◽

Author(s):

Ron Tat Lung Chan

Keyword(s):

Radial Basis Function ◽

Basis Function ◽

Jump Diffusion ◽

Diffusion Models ◽

Pricing Options ◽

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