Numerical methods for backward Markov chain driven Black-Scholes option pricing (Q2430818): Difference between revisions

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Latest revision as of 22:40, 3 July 2024

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Numerical methods for backward Markov chain driven Black-Scholes option pricing
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    Numerical methods for backward Markov chain driven Black-Scholes option pricing (English)
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    8 April 2011
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    backward Markov regime switching
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    method of fundamental solutions (MFS)
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    free boundary problem
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    American option
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    European option
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