A modified Crank-Nicolson fitted finite volume method for American options under regime-switching jump-diffusion processes (Q4996396)
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scientific article; zbMATH DE number 7366570
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| English | A modified Crank-Nicolson fitted finite volume method for American options under regime-switching jump-diffusion processes |
scientific article; zbMATH DE number 7366570 |
Statements
1 July 2021
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American option pricing
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regime-switching jump-diffusion model
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fitted finite volume method
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Crank-Nicolson scheme
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0.9089621305465698
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0.8814823031425476
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0.8741478323936462
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0.8703413009643555
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