Zhu, Song-Ping; Zheng, Yawen An integral equation approach for pricing American put options under regime-switching model. (English) Zbl 1515.91163 Int. J. Comput. Math. 100, No. 7, 1454-1479 (2023). MSC: 91G60 65C30 65R20 91G20 60G40 PDFBibTeX XMLCite \textit{S.-P. Zhu} and \textit{Y. Zheng}, Int. J. Comput. Math. 100, No. 7, 1454--1479 (2023; Zbl 1515.91163) Full Text: DOI
Mamplata, Jonathan; Mamon, Rogemar; David, Guido Modelling and filtering for dynamic investment in the precious-metals market. (English) Zbl 1513.91080 Int. J. Comput. Math. 99, No. 12, 2382-2409 (2022). MSC: 91G15 PDFBibTeX XMLCite \textit{J. Mamplata} et al., Int. J. Comput. Math. 99, No. 12, 2382--2409 (2022; Zbl 1513.91080) Full Text: DOI
Ma, Jingtang; Chen, Yong Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models. (English) Zbl 1480.91318 Int. J. Comput. Math. 97, No. 11, 2210-2232 (2020). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{J. Ma} and \textit{Y. Chen}, Int. J. Comput. Math. 97, No. 11, 2210--2232 (2020; Zbl 1480.91318) Full Text: DOI
Koleva, Miglena N.; Vulkov, Lubin G. Numerical method for optimal portfolio in an exponential utility regime-switching model. (English) Zbl 1490.91243 Int. J. Comput. Math. 97, No. 1-2, 120-140 (2020). MSC: 91G60 35K51 35K65 65M06 65M12 91G10 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, Int. J. Comput. Math. 97, No. 1--2, 120--140 (2020; Zbl 1490.91243) Full Text: DOI
Kazmi, Kamran An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models. (English) Zbl 1481.91220 Int. J. Comput. Math. 96, No. 6, 1137-1157 (2019). MSC: 91G60 65M06 65M12 91G20 60G40 PDFBibTeX XMLCite \textit{K. Kazmi}, Int. J. Comput. Math. 96, No. 6, 1137--1157 (2019; Zbl 1481.91220) Full Text: DOI
Ma, Jingtang; Tang, Hongji; Zhu, Song-Ping Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates. (English) Zbl 1390.91321 Int. J. Comput. Math. 95, No. 2, 341-360 (2018). MSC: 91G60 65C40 65M06 91G20 PDFBibTeX XMLCite \textit{J. Ma} et al., Int. J. Comput. Math. 95, No. 2, 341--360 (2018; Zbl 1390.91321) Full Text: DOI Link
Liu, R. H.; Nguyen, D. A tree approach to options pricing under regime-switching jump diffusion models. (English) Zbl 1335.91106 Int. J. Comput. Math. 92, No. 12, 2575-2595 (2015). MSC: 91G60 60J75 60H30 60H35 91B70 91G20 91G80 93E11 93E20 PDFBibTeX XMLCite \textit{R. H. Liu} and \textit{D. Nguyen}, Int. J. Comput. Math. 92, No. 12, 2575--2595 (2015; Zbl 1335.91106) Full Text: DOI
Yousuf, M.; Khaliq, A. Q. M.; Liu, R. H. Pricing American options under multi-state regime switching with an efficient \(L\)-stable method. (English) Zbl 1386.91168 Int. J. Comput. Math. 92, No. 12, 2530-2550 (2015). MSC: 91G60 65M06 65M12 65M15 91G20 60G40 PDFBibTeX XMLCite \textit{M. Yousuf} et al., Int. J. Comput. Math. 92, No. 12, 2530--2550 (2015; Zbl 1386.91168) Full Text: DOI
Holmes, Anthony D.; Yang, Hongtao; Zhang, Shuhua A front-fixing finite element method for the valuation of American options with regime switching. (English) Zbl 1258.65089 Int. J. Comput. Math. 89, No. 9, 1094-1111 (2012). MSC: 65M60 65M06 65M12 PDFBibTeX XMLCite \textit{A. D. Holmes} et al., Int. J. Comput. Math. 89, No. 9, 1094--1111 (2012; Zbl 1258.65089) Full Text: DOI
Yin, G.; Yu, J.; Zhang, Q. A stochastic approximation algorithm for option pricing model calibration with a switchable market. (English) Zbl 1203.91300 Int. J. Comput. Math. 87, No. 15, 3525-3545 (2010). MSC: 91G20 60J28 62L20 PDFBibTeX XMLCite \textit{G. Yin} et al., Int. J. Comput. Math. 87, No. 15, 3525--3545 (2010; Zbl 1203.91300) Full Text: DOI
Eloe, P.; Liu, R. H.; Sun, J. Y. Double barrier option under regime-switching exponential mean-reverting process. (English) Zbl 1163.91393 Int. J. Comput. Math. 86, No. 6, 964-981 (2009). MSC: 91G20 60J27 34B05 PDFBibTeX XMLCite \textit{P. Eloe} et al., Int. J. Comput. Math. 86, No. 6, 964--981 (2009; Zbl 1163.91393) Full Text: DOI