An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models
An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models
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DOI：
10.1080/00207160.2018.1446526
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发表时间：
2019-06
影响因子：
1.8
通讯作者：
Kamran Kazmi
中科院分区：
文献类型：
--
作者：
Kamran Kazmi
摘要提出了一种有效的二阶方法，并分析了该方法的稳定性和收敛性。隐式显式（IMEX）所提出的方法的性质，避免了需要反转一个完整的矩阵，并导致三对角系统，可以有效地解决了直接的方法。将IMEX预估校正方法与算子分裂方法相结合，求解美式期权的线性互补问题。数值实验证明了该方法的稳定性和二阶收敛性。
ABSTRACT An efficient second-order method for pricing European and American options under regime-switching jump-diffusion models is presented and analysed for stability and convergence. The implicit–explicit (IMEX) nature of the proposed method avoids the need to invert a full matrix and leads to tridiagonal systems that can be efficiently solved by direct methods. The IMEX predictor–corrector method is coupled with the operator splitting method to solve the linear complementarity problem of the American options. Numerical experiments are performed to demonstrate the stability and second-order convergence of the method.