Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method (Q5156967)
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scientific article; zbMATH DE number 7409052
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method |
scientific article; zbMATH DE number 7409052 |
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Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method (English)
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12 October 2021
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American option pricing
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regime-switching jump-diffusion model
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complementarity problem
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fitted finite volume method
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penalty method
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