American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion

The Journal of Derivatives ◽

10.3905/jod.2022.1.147 ◽

2022 ◽

pp. jod.2022.1.147

Author(s):

Tak Kuen Siu ◽

Robert J. Elliott

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Jump Diffusion ◽

American Option ◽

American Option Pricing

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A front-fixing ETD numerical method for solving jump–diffusion American option pricing problems

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2020.07.015 ◽

2020 ◽

Author(s):

Rafael Company ◽

Vera N. Egorova ◽

Lucas Jódar

Keyword(s):

Option Pricing ◽

Numerical Method ◽

Jump Diffusion ◽

American Option ◽

American Option Pricing ◽

Pricing Problems

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Numerical Methods for System Parabolic Variational Inequalities from Regime-Switching American Option Pricing

Numerical Mathematics Theory Methods and Applications ◽

10.4208/nmtma.oa-2018-0025 ◽

2019 ◽

Vol 12 (2) ◽

pp. 566-593 ◽

Author(s):

Jie Xing and Jingtang Ma

Keyword(s):

Numerical Methods ◽

Variational Inequalities ◽

Option Pricing ◽

Regime Switching ◽

American Option ◽

American Option Pricing

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Numerical Analysis of American Option Pricing in a Jump-Diffusion Model

Mathematics of Operations Research ◽

10.1287/moor.22.3.668 ◽

1997 ◽

Vol 22 (3) ◽

pp. 668-690 ◽

Author(s):

Xiao Lan Zhang

Keyword(s):

Numerical Analysis ◽

Option Pricing ◽

Diffusion Model ◽

Jump Diffusion ◽

American Option ◽

American Option Pricing ◽

Jump Diffusion Model

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A power penalty approach to american option pricing with jump diffusion processes

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2008.4.783 ◽

2008 ◽

Vol 4 (4) ◽

pp. 783-799 ◽

Author(s):

Kai Zhang ◽

◽

Xiaoqi Yang ◽

Kok Lay Teo ◽

◽

...

Keyword(s):

Option Pricing ◽

Diffusion Processes ◽

Jump Diffusion ◽

American Option ◽

American Option Pricing ◽

Power Penalty ◽

Penalty Approach ◽

Jump Diffusion Processes

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Simulations for American Option Pricing Under a Jump-Diffusion Model: Comparison Study between Kernel-Based and Regression-based Methods

Lecture Notes in Computer Science - Advances in Neural Networks - ISNN 2008 ◽

10.1007/978-3-540-87732-5_73 ◽

2008 ◽

pp. 655-662

Author(s):

Hyun-Joo Lee ◽

Seung-Ho Yang ◽

Gyu-Sik Han ◽

Jaewook Lee

Keyword(s):

Option Pricing ◽

Diffusion Model ◽

Model Comparison ◽

Jump Diffusion ◽

American Option ◽

Comparison Study ◽

American Option Pricing ◽

Jump Diffusion Model

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Fourth-Order Compact Finite Difference Scheme for American Option Pricing Under Regime-Switching Jump-Diffusion Models

International Journal of Applied and Computational Mathematics ◽

10.1007/s40819-017-0369-6 ◽

2017 ◽

Vol 3 (S1) ◽

pp. 547-567 ◽

Author(s):

Kuldip Singh Patel ◽

Mani Mehra

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Fourth Order ◽

Regime Switching ◽

Finite Difference Scheme ◽

Jump Diffusion ◽

American Option Pricing ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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A new stochastic gradient estimator for American option pricing

2009 European Control Conference (ECC) ◽

10.23919/ecc.2009.7074567 ◽

2009 ◽

Author(s):

Yongqiang Wang ◽

Michael C. Fu ◽

Steven I. Marcus

Keyword(s):

Option Pricing ◽

American Option ◽

Stochastic Gradient ◽

American Option Pricing

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American Option Pricing Under GARCH With Non-Normal Innovations

SSRN Electronic Journal ◽

10.2139/ssrn.3166295 ◽

2017 ◽

Author(s):

Jean-Guy Simonato

Keyword(s):

Option Pricing ◽

American Option ◽

American Option Pricing

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American option pricing under two stochastic volatility processes

Applied Mathematics and Computation ◽

10.1016/j.amc.2013.08.047 ◽

2013 ◽

Vol 224 ◽

pp. 283-310 ◽

Author(s):

Carl Chiarella ◽

Jonathan Ziveyi

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

American Option ◽

American Option Pricing

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Operator splitting methods for American option pricing

Applied Mathematics Letters ◽

10.1016/j.aml.2004.06.010 ◽

2004 ◽

Vol 17 (7) ◽

pp. 809-814 ◽

Author(s):

S. Ikonen ◽

J. Toivanen

Keyword(s):

Option Pricing ◽

Operator Splitting ◽

American Option ◽

Splitting Methods ◽

American Option Pricing ◽

Operator Splitting Methods

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