NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING (Q3637884): Difference between revisions

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NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
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    NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING (English)
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    14 July 2009
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    American option
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    regime-switching
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    implicit scheme
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    penalty method
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    \(\theta\)-method
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    free boundary value problem
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