scientific article; zbMATH DE number 6165838

zbMath1275.91150MaRDI QIDQ4923492

Jin Zhang, Song-Ping Zhu

Publication date: 24 May 2013

Full work available at URL: http://online.watsci.org/abstract_pdf/2012v19/v19n4-5b-pdf/1.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Laplace transformnumerical Laplace inversionmoving boundary value problems

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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A semi-analytic valuation of American options under a two-state regime-switching economy ⋮ Laplace transform methods for a free boundary problem of time-fractional partial differential equation system ⋮ Semi-analytic valuation of stock loans with finite maturity ⋮ Finite maturity margin call stock loans

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