Methods for Pricing American Options under Regime Switching (Q3116428)

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scientific article
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English
Methods for Pricing American Options under Regime Switching
scientific article

    Statements

    title
    Methods for Pricing American Options under Regime Switching (English)
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    author
    Yiqing Huang
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    Peter A. I. Forsyth
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    George Labahn
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    publication date
    23 February 2012
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    zbMATH Keywords
    regime switching
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    American options
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    iterative methods
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    Identifiers

    DOI
    10.1137/110820920
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    Mathematics Subject Classification ID
    91G60
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    91G20
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    65N06
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    93C20
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    zbMATH DE Number
    6008912
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    OpenAlex ID
    W1981073545
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