Pricing American option using a modified fractional black-scholes model under multi-state regime switching
M. Yousuf, A. Q. M. Khaliq
| Year of publication: |
2023
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|---|---|
| Authors: | Yousuf, M. ; Khaliq, Abdul Q. M. |
| Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 4/5, Art.-No. 2350019, p. 1-21
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| Subject: | American options | Fractional partial differential equations | numerical methods | penalty method | regime switching | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Numerisches Verfahren | Numerical analysis | Markov-Kette | Markov chain |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902492350019X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014497295