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Pricing American option using a modified fractional black-scholes model under multi-state regime switching

Yousuf, M.; Khaliq, Abdul Q. M. - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-21

Persistent link: https://www.econbiz.de/10014497295

COS method for option pricing under a regime-switching model with time-changed Lévy processes

Tour, G.; Thakoor, N.; Khaliq, Abdul Q. M.; Tangman, D. Y. - In: Quantitative finance 18 (2018) 4, pp. 673-692

Persistent link: https://www.econbiz.de/10011906458

New Numerical Scheme for Pricing American Option with Regime-Switching

Khaliq, Abdul Q. M. - 2010

This paper is concerned with regime-switching American option pricing. We develop new numerical schemes by extending the penalty method approach and by employing the θ-method. With regime-switching, American option prices satisfy a system of m free boundary value problems, where m is the number...

Persistent link: https://www.econbiz.de/10013150059

New numerical scheme for pricing American option with regime-switching

Khaliq, Abdul Q. M.; Liu, Rui Hua - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 319-340

Persistent link: https://www.econbiz.de/10003867406

A parallel time stepping approach using mesh-free approximations for pricing options with non-smooth payouts

Khaliq, Abdul Q. M.; Voss, David A.; Fasshauer, Greg E. - In: Journal of risk 10 (2007/08) 4, pp. 135-142

Persistent link: https://www.econbiz.de/10003761354

Pricing exotic options with L-stable Padé schemes

Khaliq, Abdul Q. M.; Voss, David A.; Yousuf, Muhammad - In: Journal of banking & finance 31 (2007) 11, pp. 3438-3461

Persistent link: https://www.econbiz.de/10003577471