Computing American option price under regime switching with rationality parameter (Q520865)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Computing American option price under regime switching with rationality parameter |
scientific article |
Statements
Computing American option price under regime switching with rationality parameter (English)
0 references
6 April 2017
0 references
American regime-switching option pricing
0 references
rational exercise
0 references
partial differential system
0 references
weighted finite difference scheme
0 references
numerical analysis
0 references
computing
0 references
0 references
0 references
0 references
0 references
0 references