PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING (Q6182056)
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scientific article; zbMATH DE number 7793177
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING |
scientific article; zbMATH DE number 7793177 |
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PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING (English)
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23 January 2024
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fractional partial differential equations
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American options
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regime switching
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penalty method
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numerical methods
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