Pricing American Options under Regime-Switching Model with a Crank-Nicolson Fitted Finite Volume Method (Q4986613)
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scientific article; zbMATH DE number 7340262
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American Options under Regime-Switching Model with a Crank-Nicolson Fitted Finite Volume Method |
scientific article; zbMATH DE number 7340262 |
Statements
Pricing American Options under Regime-Switching Model with a Crank-Nicolson Fitted Finite Volume Method (English)
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27 April 2021
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Crank-Nicolson scheme
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fitted finite volume method
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American option pricing
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Hamilton regime-switching model
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Markov chains
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stochastic differential equations
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