Pricing American options under multi-state regime switching with an efficient \(L\)-stable method (Q2804504)
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scientific article; zbMATH DE number 6575433
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| English | Pricing American options under multi-state regime switching with an efficient \(L\)-stable method |
scientific article; zbMATH DE number 6575433 |
Statements
Pricing American options under multi-state regime switching with an efficient<i>L</i>- stable method (English)
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29 April 2016
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American options
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non-smooth payoffs
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regime switching
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exponential time differencing
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strongly stable
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0.8643792271614075
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0.8475072979927063
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0.8450332880020142
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0.8420791625976562
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0.8369135856628418
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