Compact finite difference scheme with hermite interpolation for pricing American put options based on regime switching model
Year of publication: |
2023
|
---|---|
Authors: | Nwankwo, Chinonso I. ; Dai, Weizhong ; Liu, Rui Hua |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 62.2023, 3, p. 817-854
|
Subject: | American put options with regime switching | Compact finite difference method | Hermite interpolation | Logarithmic transformation | Optimal exercise boundary |
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