Pricing American options under multi-state regime switching with an efficientL- stable method
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications
Link
http://www.tandfonline.com/doi/pdf/10.1080/00207160.2015.1071799
Reference33 articles.
1. Implicit-Explicit Methods for Time-Dependent Partial Differential Equations
2. Implicit-explicit Runge-Kutta methods for time-dependent partial differential equations
3. Term Structure of Interest Rates with Regime Shifts
4. A New Class of Time Discretization Schemes for the Solution of Nonlinear PDEs
5. American Options in Regime-Switching Models
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