A front-fixing finite element method for the valuation of American options with regime switching

DOI10.1080/00207160.2012.663911zbMath1258.65089MaRDI QIDQ4903537

Hongtao Yang, Shuhua Zhang, Anthony David Holmes

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.663911

zbMATH Keywords

finite element method; regime switching; American option; free boundary value problem; front-fixing method

Mathematics Subject Classification ID

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

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