A numerical analysis of American options with regime switching

DOI10.1007/s10915-010-9365-2zbMath1203.65192MaRDI QIDQ618604

Hongtao Yang

Publication date: 16 January 2011

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-010-9365-2

zbMATH Keywords

finite element method; free boundary problem; regime switching; American option; lattice method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

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