A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/article/10.1007/s40314-017-0540-z/fulltext.html
Reference25 articles.
1. Allegretto W, Lin Y, Yang H (2001) Finite element error estimates for a nonlocal problem in American option valuation. SIAM J Numer Anal 39(3):834–857. https://doi.org/10.1137/S0036142900370137
2. Azari H, Moradipour M (2017) Using kernel based collocation methods to solve a delay partial differential equation with application to finance. Int J Comput Sci Math (Accepted)
3. Bastani AF, 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
4. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81:637–654
5. Buffington J, Elliott RJ (2002) American options with regime switching. Int J Theor Appl Finance 5:497–514
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