Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process

DOI10.1155/2021/8818876zbMath1471.65012OpenAlexW3178931065MaRDI QIDQ2046979

Congyin Fan, Peimin Chen

Publication date: 19 August 2021

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/8818876

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to stochastic differential and integral equations (65C30)

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