A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models (Q1993643)
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scientific article; zbMATH DE number 6973284
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| English | A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models |
scientific article; zbMATH DE number 6973284 |
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A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models (English)
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5 November 2018
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American option
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jump-diffusion model
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regime-switching model
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front-fixing method
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finite element method
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free boundary problem
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0.8922927379608154
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0.8509958982467651
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0.849234938621521
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0.8394485712051392
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