Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
Publication:2006622
DOI10.1016/j.camwa.2015.12.017zbMath1443.65199OpenAlexW3122704423MaRDI QIDQ2006622
Publication date: 11 October 2020
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2015.12.017
parallel computingAsian optionsjump-diffusionregime-switchingsystem of partial integro-differential equations
Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Related Items (15)
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Cites Work
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