A front-fixing finite element method for the valuation of American options with regime switching (Q4903537): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1080/00207160.2012.663911 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2005219641 / rank | |||
Normal rank |
Revision as of 01:15, 20 March 2024
scientific article; zbMATH DE number 6127876
Language | Label | Description | Also known as |
---|---|---|---|
English | A front-fixing finite element method for the valuation of American options with regime switching |
scientific article; zbMATH DE number 6127876 |
Statements
A front-fixing finite element method for the valuation of American options with regime switching (English)
0 references
22 January 2013
0 references
American option
0 references
finite element method
0 references
free boundary value problem
0 references
front-fixing method
0 references
regime switching
0 references