In this paper we develop a numerical method for pricing American options under regime-
switching model, whose solutions are option buyer indifference prices. The problem is …

This paper employs a numerical approach to investigate the impact of liquidity shocks on
European options in modeling markets. To accurately capture the behavior of European …

In this work, we introduce two accurate and efficient finite difference methods based on
radial basis functions (RBF–FD) for pricing European and American options under liquidity …

The focus of the present work is a one-dimensional system of weakly coupled degenerate
semi-linear parabolic equations of optimal portfolio in a regime-switching with power utility …

In this work, we consider a system of weakly coupled semi-linear parabolic equations of
optimal portfolio in a regime-switching model in the case of exponential utility function …

We consider a system of weakly coupled degenerate semi-linear parabolic equations of
optimal portfolio in a regimeswitching with power utility function, derived by AR Valdez and …

In the present paper, we construct a superconvergent fitted finite volume method (FFVM) for
pricing European option with switching liquidity shocks. We investigate some basic …

In this paper we propose a numerical method for solving regime-switching problem with
power utility function. The model is a system of parabolic equations with non-linear gradient …