A new efficient numerical method for solving American option under regime switching model

DOI10.1016/j.camwa.2015.11.019zbMath1443.91327OpenAlexW2191767628MaRDI QIDQ2006602

Vera N. Egorova, Rafael Company, Lucas Jodar

Publication date: 11 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.11.019

zbMATH Keywords

American option pricingregime switchingfinite difference methodsfree boundarynumerical analysisfront-fixing transformation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

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