Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model (Q1999691)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model |
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Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model (English)
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27 June 2019
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partial integral differential equations
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\(L\)-stable methods
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American options
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regime switching
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jump-diffusion
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