Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622)
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scientific article; zbMATH DE number 7258766
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models |
scientific article; zbMATH DE number 7258766 |
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Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (English)
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11 October 2020
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Asian options
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regime-switching
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jump-diffusion
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system of partial integro-differential equations
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parallel computing
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0.94000953
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0.9199544
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0.91623515
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0.90839446
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0.8996231
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0.8978042
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0.89729196
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0.8969584
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