NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
Year of publication: |
2009
|
---|---|
Authors: | KHALIQ, A. Q. M. ; LIU, R. H. |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 12.2009, 03, p. 319-340
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | American option | regime-switching | implicit scheme | penalty method | θ-method | free boundary value problem |
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