Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
DOI10.1016/j.cam.2019.112493zbMath1460.91296OpenAlexW2976617825WikidataQ115581025 ScholiaQ115581025MaRDI QIDQ2223806
Miglena N. Koleva, Tihomir B. Gyulov, Lubin G. Vulkov
Publication date: 3 February 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2019.112493
convergence analysiscomparison principlestochastic differential equationsregime-switching modelindifference pricingfitted finite volume methodpositivity preserving scheme
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
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