An Accurate Compact Finite Difference Scheme for Solving the American Option with M-Regime Switching Model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
https://link.springer.com/content/pdf/10.1007/s40819-023-01505-7.pdf
Reference54 articles.
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3. Boyardchenko, S., Levendorskii, S.: American options in regime-switching models. SIAM J. Control Option 48, 1353–1376 (2009). https://doi.org/10.1137/070682897
4. Buffington, J., Elliott, R.J.: American options with regime switching. Int. J. Theor. Appl. Finance 5, 497–514 (2002). https://doi.org/10.1142/S0219024902001523
5. Chan, L., Zhu, S.: An analytical formula for pricing American-style convertible bonds in a regime switching model. IMA J. Manag. Math. 26, 403–428 (2014). https://doi.org/10.1093/imaman/dpu005
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