Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching (Q5119108)
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scientific article; zbMATH DE number 7243192
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching |
scientific article; zbMATH DE number 7243192 |
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Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching (English)
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3 September 2020
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European options
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regime-switching models
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Tavella-Randall grids
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decomposition of difference solution
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