Numerical Methods for System Parabolic Variational Inequalities from Regime-Switching American Option Pricing (Q5210324)
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scientific article; zbMATH DE number 7156700
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical Methods for System Parabolic Variational Inequalities from Regime-Switching American Option Pricing |
scientific article; zbMATH DE number 7156700 |
Statements
Numerical Methods for System Parabolic Variational Inequalities from Regime-Switching American Option Pricing (English)
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22 January 2020
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parabolic variational inequality
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American option pricing
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trinomial tree methods
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finite difference methods
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regime-switching models
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