A Numerical Analysis of American Options with Regime Switching

被引：22
|
作者：
Yang, Hongtao [1 ]
机构：
[1] Univ Nevada, Dept Math Sci, Las Vegas, NV 89154 USA
来源：
JOURNAL OF SCIENTIFIC COMPUTING | 2010年 / 44卷 / 01期
关键词：
American option; Free boundary problem; Finite element method; Lattice method; Regime switching; APPROXIMATION;
D O I：
10.1007/s10915-010-9365-2
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A finite element method and a simple lattice method are proposed for numerical valuation of American options under a regime switching model. Their stability estimates are established. Numerical results are presented to compare our methods and to examine their accuracy for various combinations of parameters. The dependency of early exercise prices and option prices on parameters are also investigated numerically.
引用
收藏
页码：69 / 91
页数：23
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