A numerical analysis of American options with regime switching
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Publication:618604
DOI10.1007/s10915-010-9365-2zbMath1203.65192MaRDI QIDQ618604
Publication date: 16 January 2011
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-010-9365-2
91G60: Numerical methods (including Monte Carlo methods)
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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Cites Work
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- A Note on the Call-Put Parity and a Call-Put Duality
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Financial Modelling with Jump Processes
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- A Front-Fixing Finite Element Method for the Valuation of American Options
- Symmetry and duality in Lévy markets
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