Academic Journal
American Option Valuation Under the Framework of CGMY Model with Regime-Switching Process.
| Τίτλος: | American Option Valuation Under the Framework of CGMY Model with Regime-Switching Process. |
|---|---|
| Συγγραφείς: | Fan, Congyin, Gu, Xian-Ming, Dong, Shuhong, Yuan, Hua |
| Πηγή: | Computational Economics; Aug2025, Vol. 66 Issue 2, p1455-1479, 25p |
| Θεματικοί όροι: | Finite difference method, Fractional differential equations, Derivative securities, Numerical calculations, Stochastic processes, Boundary value problems |
| Περίληψη: | In this paper, the values and optimal exercise prices of American option under the CGMY model with regime-switching process are considered. For this case, the pricing mathematical model is a free boundary problem which includes d coupled fractional partial differential equations (PDEs) in one dimension with free boundary conditions, d denoting the number of regimes of financial market. The above problem is changed as a fixed one by adding a nonlinear penalty term to each fractional PDE. After the finite difference method is set to solve the transformed model, unlike the conventional method, the discretized coupling system is reformulated by expanding dimensions such that numerical results in all states can be calculated simultaneously. Finally, significant effects of the parameters in our model on the option exercise price are verified through our selected numerical results. Meanwhile, the curves of Delta and Gamma are reported to show feasibility of our model and the proposed numerical method. [ABSTRACT FROM AUTHOR] |
| Copyright of Computational Economics is the property of Springer Nature and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Βάση Δεδομένων: | Complementary Index |
| FullText | Links: – Type: other Text: Availability: 0 CustomLinks: – Url: https://dx.doi.org/doi:10.1007/s10614-024-10734-x Name: EDS - Springer Nature Journals (s7799221) Category: fullText Text: View record at Springer |
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| Header | DbId: edb DbLabel: Complementary Index An: 187382765 RelevancyScore: 1007 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 1007.33666992188 |
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| Items | – Name: Title Label: Title Group: Ti Data: American Option Valuation Under the Framework of CGMY Model with Regime-Switching Process. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Fan%2C+Congyin%22">Fan, Congyin</searchLink><br /><searchLink fieldCode="AR" term="%22Gu%2C+Xian-Ming%22">Gu, Xian-Ming</searchLink><br /><searchLink fieldCode="AR" term="%22Dong%2C+Shuhong%22">Dong, Shuhong</searchLink><br /><searchLink fieldCode="AR" term="%22Yuan%2C+Hua%22">Yuan, Hua</searchLink> – Name: TitleSource Label: Source Group: Src Data: Computational Economics; Aug2025, Vol. 66 Issue 2, p1455-1479, 25p – Name: Subject Label: Subject Terms Group: Su Data: <searchLink fieldCode="DE" term="%22Finite+difference+method%22">Finite difference method</searchLink><br /><searchLink fieldCode="DE" term="%22Fractional+differential+equations%22">Fractional differential equations</searchLink><br /><searchLink fieldCode="DE" term="%22Derivative+securities%22">Derivative securities</searchLink><br /><searchLink fieldCode="DE" term="%22Numerical+calculations%22">Numerical calculations</searchLink><br /><searchLink fieldCode="DE" term="%22Stochastic+processes%22">Stochastic processes</searchLink><br /><searchLink fieldCode="DE" term="%22Boundary+value+problems%22">Boundary value problems</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: In this paper, the values and optimal exercise prices of American option under the CGMY model with regime-switching process are considered. For this case, the pricing mathematical model is a free boundary problem which includes d coupled fractional partial differential equations (PDEs) in one dimension with free boundary conditions, d denoting the number of regimes of financial market. The above problem is changed as a fixed one by adding a nonlinear penalty term to each fractional PDE. After the finite difference method is set to solve the transformed model, unlike the conventional method, the discretized coupling system is reformulated by expanding dimensions such that numerical results in all states can be calculated simultaneously. Finally, significant effects of the parameters in our model on the option exercise price are verified through our selected numerical results. Meanwhile, the curves of Delta and Gamma are reported to show feasibility of our model and the proposed numerical method. [ABSTRACT FROM AUTHOR] – Name: Abstract Label: Group: Ab Data: <i>Copyright of Computational Economics is the property of Springer Nature and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
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| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1007/s10614-024-10734-x Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 25 StartPage: 1455 Subjects: – SubjectFull: Finite difference method Type: general – SubjectFull: Fractional differential equations Type: general – SubjectFull: Derivative securities Type: general – SubjectFull: Numerical calculations Type: general – SubjectFull: Stochastic processes Type: general – SubjectFull: Boundary value problems Type: general Titles: – TitleFull: American Option Valuation Under the Framework of CGMY Model with Regime-Switching Process. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Fan, Congyin – PersonEntity: Name: NameFull: Gu, Xian-Ming – PersonEntity: Name: NameFull: Dong, Shuhong – PersonEntity: Name: NameFull: Yuan, Hua IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 08 Text: Aug2025 Type: published Y: 2025 Identifiers: – Type: issn-print Value: 09277099 Numbering: – Type: volume Value: 66 – Type: issue Value: 2 Titles: – TitleFull: Computational Economics Type: main |
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