Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
Journal of Computational and Applied Mathematics
Improved radial basis function methods for multi-dimensional option pricing
Journal of Computational and Applied Mathematics
Meshfree Approximation Methods with MATLAB
Meshfree Approximation Methods with MATLAB
Option pricing with regime switching Lévy processes using Fourier space time stepping
FEA '07 Proceedings of the Fourth IASTED International Conference on Financial Engineering and Applications
American Options in Regime-Switching Models
SIAM Journal on Control and Optimization
Methods for Pricing American Options under Regime Switching
SIAM Journal on Scientific Computing
A new radial basis functions method for pricing American options under Merton's jump-diffusion model
International Journal of Computer Mathematics - COMPUTATIONAL METHODS FOR PDEs IN FINANCE
| Hi-index | 0.00 |
The Markovian regime-switching paradigm has become one of the prevailing models in mathematical finance. It is now widely known that under the regime-switching model, the market is incomplete and so the option valuation problem in this framework will be a challenging task of considerable importance for market practitioners and academia. Our concern here is to solve the pricing problem for American options in a Markov-modulated jump-diffusion model, based on a meshfree approach using radial basis functions. In this respect, we solve a set of coupled partial integro-differential equations with the free boundary feature by expanding the solution vector in terms of radial basis functions and then collocating the resulting system of equations at some pre-specified points. This method exhibits a superlinear order of convergence in space and a linear order in time and also has an acceptable speed in comparison with some existing methods. We will compare our results with some recently proposed approaches.