Journal of Jilin University Science Edition ›› 2022, Vol. 60 ›› Issue (5): 1090-1096.
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GAO Zihan, HUANG Cunxin, SONG Haiming, ZHOU Bocheng
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Abstract: We considered the pricing of American put options under regime-switching model. Firstly, we designed a semi-implicit difference scheme to solve this kind of option pricing problem according to the characteristics of the problem. Secondly, based on the structure of discretized nonlinear systems, we constructed the projection and contraction methods for solving discretized systems. Finally, we verified the correctness and effectiveness of the algorithm through numerical experiments.
Key words: regime-switching, American put options, difference method, projection and contraction method (PCM)
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GAO Zihan, HUANG Cunxin, SONG Haiming, ZHOU Bocheng. Projection and Contraction Method for Pricing American Option under Regime-Switching Model[J].Journal of Jilin University Science Edition, 2022, 60(5): 1090-1096.
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http://xuebao.jlu.edu.cn/lxb/EN/Y2022/V60/I5/1090
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