Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (Q4903222)
From MaRDI portal
scientific article; zbMATH DE number 6127234
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes |
scientific article; zbMATH DE number 6127234 |
Statements
Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (English)
0 references
21 January 2013
0 references
American option
0 references
exponential time differencing
0 references
free boundary value problem
0 references
numerical PDE
0 references
penalty method
0 references
regime-switching
0 references
