A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis (Q6590205)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 7899235
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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 |
Statements
A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis (English)
0 references
21 August 2024
0 references
American options
0 references
regime switching
0 references
finite difference method
0 references
primal-dual active set method
0 references
0 references
0 references
0 references
0 references
0 references
0.8388174772262573
0 references
0.8172510862350464
0 references
0.787551760673523
0 references
0.7699440121650696
0 references
