Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing (Q1651338)
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scientific article; zbMATH DE number 6902242
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing |
scientific article; zbMATH DE number 6902242 |
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Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing (English)
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12 July 2018
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numerical contour integral
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convergence rates
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option pricing
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regime-switching
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Laplace transform
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iteration algorithm
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