A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
Author:
Funder
Natural Science Foundation of Jilin Province
Shenzhen Science and Technology Innovation Program
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s40314-024-02862-9.pdf
Reference26 articles.
1. Babbin J, Forsyth P, Labahn G (2014) A comparison of iterated optimal stopping and local policy iteration for American options under regime switching. J Sci Comput 58:409–430
2. Bastani A, Ahmadi Z, Damircheli D (2013) A radial basis collocation method for pricing American options under regime-switching jump-diffusion models. Appl Numer Math 65:79–90
3. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81:637–654
4. Buffington J, Elliott R (2002) American options with regime switching. Int J Theor Appl Finance 5:497–514
5. Chan L, Zhu S (2021) An analytic approach for pricing American options with regime switching. J Risk Finan Manag 5:188
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