An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models (Q5031851)
From MaRDI portal
scientific article; zbMATH DE number 7474859
Language | Label | Description | Also known as |
---|---|---|---|
English | An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models |
scientific article; zbMATH DE number 7474859 |
Statements
An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models (English)
0 references
16 February 2022
0 references
regime-switching jump-diffusion model
0 references
option pricing
0 references
American options
0 references
predictor-corrector method
0 references
\(L\)-stable
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references