New Numerical Scheme for Pricing American Option with Regime-Switching
By Abdul Khaliq, R. Liu. 2009
87 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Numerical Analysis
View Paper: https://www.semanticscholar.org/paper/8da123e3bca52383e24203f3f3023b8da956cfd0
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Citations in the corpus
- FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (2011, background): “…and Zhang (2004), Chourdakis (2004,2007), Edwards (2005), Liu et al. (2006), Yao et al. (2006), Jobert and Rogers 1 (2006), Elliott and Osakwe (2006), Jiang and Pistorius (2008), Boyarchenko and Levendorskii (2009), Khaliq and Liu (2009), Di Graziano and Rogers (2009), Ramponi (2009), Liu (2010).”
- A radial basis collocation method for pricing American options under regime-switching jump-diffusion models (2013, unknown): “, H satisfy the following system of free boundary value problems [23]: ⎧⎪⎪⎪⎪⎪⎪⎪⎪⎪⎪⎪⎪⎨ ⎪⎪⎪⎪⎪⎪⎪⎪⎪⎪⎪⎪⎪⎩ ∂V i ∂t −Li V i + H ∑ j=1 qij V j = 0, x > x̄i(t), i = 1,2, .”