American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach (Q3515079)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach |
scientific article |
Statements
American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach (English)
0 references
24 July 2008
0 references
free boundary
0 references
variational inequality
0 references
option pricing
0 references
regime-switching volatility
0 references
0 references
