@Article{NMTMA-13-497,
author = {Ma , JingtangWang , HanZhou , Zhiqiang and Tan , Zhijun},
title = {High-Order Methods for Exotic Options and Greeks Under Regime-Switching Jump-Diffusion Models},
journal = {Numerical Mathematics: Theory, Methods and Applications},
year = {2020},
volume = {13},
number = {2},
pages = {497--515},
abstract = {<p style="text-align: justify;">This paper aims to develop high-order numerical methods for solving the system partial differential equations (PDEs) and partial integro-differential equations (PIDEs) arising in exotic option pricing under regime-switching models and regime-switching jump-diffusion models, respectively. Using cubic Hermite polynomials, the high-order collocation methods are proposed to solve the system PDEs and PIDEs. This collocation scheme has the second-order convergence rates in time and fourth-order rates in space. The computation of the Greeks for the options is also studied. Numerical examples are carried out to verify the high-order convergence and show the efficiency for computing the Greeks.</p>},
issn = {2079-7338},
doi = {https://doi.org/10.4208/nmtma.OA-2019-0119},
url = {http://global-sci.org/intro/article_detail/nmtma/15489.html}
}