A new efficient numerical method for solving American option under regime switching model (Q2006602)
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scientific article; zbMATH DE number 7258751
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| English | A new efficient numerical method for solving American option under regime switching model |
scientific article; zbMATH DE number 7258751 |
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A new efficient numerical method for solving American option under regime switching model (English)
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11 October 2020
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American option pricing
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regime switching
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front-fixing transformation
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free boundary
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finite difference methods
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numerical analysis
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0.8733932375907898
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0.8723454475402832
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0.8627408146858215
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0.8611512184143066
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