A semi-analytic valuation of American options under a two-state regime-switching economy

DOI10.1016/j.physa.2019.122968OpenAlexW2978702408MaRDI QIDQ2164646

Endah R. M. Putri, Xiaoping Lu

Publication date: 15 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=4303&context=eispapers1

zbMATH Keywords

Laplace transformAmerican optionsregime-switchingsemi-analytic solution

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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