A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis (Q6590205)
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scientific article; zbMATH DE number 7899235
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| English | A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis |
scientific article; zbMATH DE number 7899235 |
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A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis (English)
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21 August 2024
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American options
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regime switching
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finite difference method
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primal-dual active set method
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0.8388174772262573
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0.8172510862350464
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0.787551760673523
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0.7699440121650696
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