NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING (Q3637884)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING |
scientific article |
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NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING (English)
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14 July 2009
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American option
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regime-switching
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implicit scheme
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penalty method
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\(\theta\)-method
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free boundary value problem
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