A direct solution method for pricing options in regime‐switching models

Multiquadric Method for Solving Options Pricing Model

This paper applies the global radial basis functions as a spatial collocation scheme for solving the Options Pricing model. Diierent numerical time integration schemes are employed for the time derivative of the model. It is shown that the major numerical error is from the time integration instead of the spatial approximation by comparing with the analytical solution. Since the basis functions ...

Pricing Bermudan Options in Lévy Models

This paper presents a Hilbert transform method for pricing Bermudan options in Lévy models. The corresponding optimal stopping problem is reduced to a backward induction in the Fourier space that involves taking Hilbert transforms of certain analytic functions or integrating such functions. The Hilbert transforms and integrals can be discretized using very simple schemes. The resulting discrete...

A Radial Basis Function Method for Solving Options Pricing Model

This paper applies the global radial basis functions as a spatial collocation scheme for solving the Options Pricing model. Diierent numerical time integration schemes are employed for the time derivative of the model. In the case of the European options, it is shown that the major numerical error is from the time integration instead of the spatial approximation by comparing with the analytical...

A stochastic mesh method for pricing high- dimensional American options

URL: www.thejournalofcomputationalfinance.com High-dimensional problems frequently arise in the pricing of derivative securities – for example, in pricing options on multiple underlying assets and in pricing term structure derivatives. American versions of these options, ie, where the owner has the right to exercise early, are particularly challenging to price. We introduce a stochastic mesh me...

A Quasi-radial Basis Functions Method for American Options Pricing