scientific article; zbMATH DE number 7478906
zbMath1480.91315MaRDI QIDQ5033284
Publication date: 22 February 2022
Full work available at URL: http://online.watsci.org/abstract_pdf/2021v28/v28n3b-pdf/1.pdf
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
finite difference methodfree boundary problemdiscrete maximum principlejump-diffusion modelregime-switching modelperpetual American option
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) White noise theory (60H40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)
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