A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump-diffusion-ruin process

2018 ◽  
Vol 38 (8) ◽  
pp. 898-924
Author(s):  
San-Lin Chung ◽  
Jr-Yan Wang
Keyword(s):  
Jump Diffusion ◽  
Iteration Algorithm ◽  
Simple Iteration ◽  
Bermudan Options

DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS

2011 ◽  
Vol 14 (07) ◽  
pp. 1005-1043 ◽  
Author(s):  
MITYA BOYARCHENKO ◽  
SVETLANA BOYARCHENKO
Keyword(s):  
Regime Switching ◽  
Jump Diffusion ◽  
Iteration Algorithm ◽  
Barrier Options ◽  
Double Barrier ◽  
Double Exponential ◽  
Jump Diffusion Model ◽  
Pricing Problems ◽  
Payoff Functions ◽  
Strong Markov

We present a very fast and accurate algorithm for calculating prices of finite lived double barrier options with arbitrary terminal payoff functions under regime-switching hyper-exponential jump-diffusion (HEJD) models, which generalize the double-exponential jump-diffusion model pioneered by Kou and Lipton. Numerical tests demonstrate an excellent agreement of our results with those obtained using other methods, as well as a significant increase in computation speed (sometimes by a factor of 5). The first step of our approach is Carr's randomization, whose convergence we prove for barrier and double barrier options under strong Markov processes of a wide class. The resulting sequence of perpetual option pricing problems is solved using an efficient iteration algorithm and the Wiener-Hopf factorization.

A simple iteration algorithm for PLS regression

1995 ◽  
Vol 9 (5) ◽  
pp. 363-372 ◽  
Author(s):  
Eryi Zhu ◽  
Ramon M. Barnes
Keyword(s):  
Iteration Algorithm ◽  
Pls Regression ◽  
Simple Iteration

On Spectral-Homotopy Perturbation Method Solution of Nonlinear Differential Equations in Bounded Domains

2013 ◽  
Vol 1 (1) ◽  
pp. 25-37
Author(s):  
Ahmed A. Khidir
Keyword(s):  
Perturbation Method ◽  
Homotopy Perturbation Method ◽  
Nonlinear Boundary ◽  
Nonlinear Differential Equations ◽  
Iteration Algorithm ◽  
Test Problems ◽  
Nonlinear Boundary Value Problems ◽  
Homotopy Perturbation ◽  
Spectral Technique ◽  
Homotopy Analysis

In this study, a combination of the hybrid Chebyshev spectral technique and the homotopy perturbation method is used to construct an iteration algorithm for solving nonlinear boundary value problems. Test problems are solved in order to demonstrate the efficiency, accuracy and reliability of the new technique and comparisons are made between the obtained results and exact solutions. The results demonstrate that the new spectral homotopy perturbation method is more efficient and converges faster than the standard homotopy analysis method. The methodology presented in the work is useful for solving the BVPs consisting of more than one differential equation in bounded domains. 

Sign in / Sign up

Export Citation Format

Share Document