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
|
|---|---|
| Authors: | Yousuf, M. ; Khaliq, Abdul Q. M. |
| Subject: | American options | Fractional partial differential equations | numerical methods | penalty method | regime switching | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Markov-Kette | Markov chain | Numerisches Verfahren | Numerical analysis | Finanzmathematik | Mathematical finance |
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