Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (Q4903222)
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scientific article; zbMATH DE number 6127234
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| English | Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes |
scientific article; zbMATH DE number 6127234 |
Statements
Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (English)
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21 January 2013
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American option
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exponential time differencing
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free boundary value problem
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numerical PDE
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penalty method
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regime-switching
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0.9410338
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0.9179445
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0.9068507
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0.9004423
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0.89889455
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0.8979624
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0.8972986
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0.89690953
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0.8940202
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