A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
DOI10.1007/S40314-024-02862-9MaRDI QIDQ6590205FDOQ6590205
Authors: Xin Wen, Haiming Song, Yu-Tian Li, Zihan Gao 
Publication date: 21 August 2024
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
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Cites Work
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- Approximation in the finite element method
- An integral equation approach for pricing American put options under regime-switching model
- Numerical methods for system parabolic variational inequalities from regime-switching American option pricing
- Projection and contraction method for the valuation of American options under regime switching
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