Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
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Publication:4554242
DOI10.1080/14697688.2016.1167281zbMath1400.91575OpenAlexW2343508738MaRDI QIDQ4554242
Swathi Amarala, Justin W. L. Wan
Publication date: 13 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1167281
regime switchingAmerican optionsmultigrid methodsBertrand oligopolymonotone schemejump in controlsystems of HJB and HJBI PDEs
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Special types of economic markets (including Cournot, Bertrand) (91B54)
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