Numerical methods for backward Markov chain driven Black-Scholes option pricing
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Publication:2430818
DOI10.1007/s11464-010-0089-2zbMath1209.91166WikidataQ58222867 ScholiaQ58222867MaRDI QIDQ2430818
Leevan Ling, Eric S. Fung, Chi Yan Au
Publication date: 8 April 2011
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-010-0089-2
free boundary problem; American option; European option; method of fundamental solutions (MFS); backward Markov regime switching
60J22: Computational methods in Markov chains
91G60: Numerical methods (including Monte Carlo methods)
65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
Uses Software
Cites Work
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