Power penalty approach to American options pricing under regime switching (Q1730815): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Power penalty approach to American options pricing under regime switching |
scientific article |
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Power penalty approach to American options pricing under regime switching (English)
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6 March 2019
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American option pricing
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regime switching
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differential complementarity problem
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power penalty method
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convergence analysis
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