Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching

DOI10.1007/978-3-030-55347-0_21zbMath1448.91323OpenAlexW3047876643MaRDI QIDQ5119108

Slavi G. Georgiev, Lubin G. Vulkov

Publication date: 3 September 2020

Published in: Advances in High Performance Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-55347-0_21

zbMATH Keywords

regime-switching modelsEuropean optionsdecomposition of difference solutionTavella-Randall grids

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

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