Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method (Q5156967)
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scientific article; zbMATH DE number 7409052
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| English | Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method |
scientific article; zbMATH DE number 7409052 |
Statements
Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method (English)
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12 October 2021
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American option pricing
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regime-switching jump-diffusion model
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complementarity problem
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fitted finite volume method
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penalty method
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0.9022451639175416
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0.9008923768997192
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0.8814823031425476
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0.87883460521698
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