A high order finite element scheme for pricing options under regime switching jump diffusion processes (Q5964596)
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scientific article; zbMATH DE number 6547406
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| English | A high order finite element scheme for pricing options under regime switching jump diffusion processes |
scientific article; zbMATH DE number 6547406 |
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A high order finite element scheme for pricing options under regime switching jump diffusion processes (English)
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29 February 2016
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European and American option
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regime switching model
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finite element method
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exponential time integration
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