Power penalty approach to American options pricing under regime switching (Q1730815)
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scientific article; zbMATH DE number 7032752
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Power penalty approach to American options pricing under regime switching |
scientific article; zbMATH DE number 7032752 |
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Power penalty approach to American options pricing under regime switching (English)
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6 March 2019
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American option pricing
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regime switching
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differential complementarity problem
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power penalty method
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convergence analysis
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0.9230117
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0.9062273
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0.90269214
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0.90099406
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0.89876384
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0.89390045
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0.88732874
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