A modified Crank-Nicolson fitted finite volume method for American options under regime-switching jump-diffusion processes
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Publication:4996396
Crank-Nicolson schemeAmerican option pricingfitted finite volume methodregime-switching jump-diffusion model
Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Numerical computation of solutions to systems of equations (65H10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
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(6)- A Crank-Nicolson fitted finite volume method for pricing European options under regime switching
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- A modified C-N scheme for the price of American put option
- Pricing American options under regime-switching model with a Crank-Nicolson fitted finite volume method
- Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method
- On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options
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