Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
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Publication:1999691
DOI10.1016/j.camwa.2018.01.026zbMath1415.91322OpenAlexW2789586952MaRDI QIDQ1999691
Muhammad Irfan Yousuf, Salah Alrabeei, Abdul Q. M. Khaliq
Publication date: 27 June 2019
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2018.01.026
regime switchingAmerican optionsjump-diffusion\(L\)-stable methodspartial integral differential equations
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