An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models (Q5031851)
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scientific article; zbMATH DE number 7474859
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models |
scientific article; zbMATH DE number 7474859 |
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An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models (English)
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16 February 2022
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regime-switching jump-diffusion model
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option pricing
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American options
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predictor-corrector method
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\(L\)-stable
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