Numerical methods for backward Markov chain driven Black-Scholes option pricing (Q2430818): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 21:48, 2 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods for backward Markov chain driven Black-Scholes option pricing |
scientific article |
Statements
Numerical methods for backward Markov chain driven Black-Scholes option pricing (English)
0 references
8 April 2011
0 references
backward Markov regime switching
0 references
method of fundamental solutions (MFS)
0 references
free boundary problem
0 references
American option
0 references
European option
0 references
