Methods for Pricing American Options under Regime Switching
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Publication:3116428
DOI10.1137/110820920zbMath1232.91707OpenAlexW1981073545MaRDI QIDQ3116428
Yiqing Huang, Peter A. I. Forsyth, George Labahn
Publication date: 23 February 2012
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/110820920
Numerical methods (including Monte Carlo methods) (91G60) Control/observation systems governed by partial differential equations (93C20) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)
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