A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
American optionfinite element methodfree boundary problemfront-fixing methodjump-diffusion modelregime-switching model
PDEs with low regular coefficients and/or low regular data (35R05) Free boundary problems for PDEs (35R35) Numerical computation of solutions to systems of equations (65H10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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