A front-fixing finite element method for the valuation of American options with regime switching (Q4903537)
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scientific article; zbMATH DE number 6127876
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| English | A front-fixing finite element method for the valuation of American options with regime switching |
scientific article; zbMATH DE number 6127876 |
Statements
A front-fixing finite element method for the valuation of American options with regime switching (English)
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22 January 2013
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American option
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finite element method
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free boundary value problem
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front-fixing method
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regime switching
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0.9054755568504332
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0.8922927379608154
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0.8894220590591431
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0.8417302370071411
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