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Computing American option price under regime switching with rationality parameter

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Computing American option price under regime switching with rationality parameter

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Company Rossi, R.; Egorova, V.; Jódar Sánchez, LA.; Vázquez, C. (2016). Computing American option price under regime switching with rationality parameter. Computers and Mathematics with Applications. 72:741-754. doi:10.1016/j.camwa.2016.05.026

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/81435

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Title: Computing American option price under regime switching with rationality parameter
Author:
UPV Unit: Universitat Politècnica de València. Escuela Técnica Superior de Ingenieros de Caminos, Canales y Puertos - Escola Tècnica Superior d'Enginyers de Camins, Canals i Ports
Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Universitat Politècnica de València. Facultad de Administración y Dirección de Empresas - Facultat d'Administració i Direcció d'Empreses
Issued date:
Abstract:
[EN] American put option pricing under regime switching is modelled by a system of coupled partial differential equations. The proposed model combines better the reality of the market by incorporating the regime switching ...[+]
Subjects: American regime-switching option pricing , Rational exercise , Partial differential system , Weighted finite difference scheme , Numerical analysis , Computing
Copyrigths: Reserva de todos los derechos
Source:
Computers and Mathematics with Applications. (issn: 0898-1221 )
DOI: 10.1016/j.camwa.2016.05.026
Publisher:
Elsevier
Publisher version: https://doi.org/10.1016/j.camwa.2016.05.026
Project ID: info:eu-repo/grantAgreement/EC/FP7/304617/PEOPLE-2012-ITN
Thanks:
This work has been partially supported by the European Union in the FP7- PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) ...[+]
Type: Artículo

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