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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Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method
scientific article; zbMATH DE number 7409052

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    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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