Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalty method for indifference pricing of American option in a liquidity switching market |
scientific article |
Statements
Penalty method for indifference pricing of American option in a liquidity switching market (English)
0 references
9 December 2021
0 references
regime-switching problem
0 references
American option
0 references
nonlinear complementarity problem
0 references
penalty method
0 references
convergence
0 references
finite differences
0 references
obstacle constraint
0 references
comparison principle
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
