Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method
DOI10.4208/aamm.OA-2019-0017zbMath1488.65337OpenAlexW3016257196MaRDI QIDQ5156967
Rui Li, Jun-Feng Yin, Xiao-Ting Gan
Publication date: 12 October 2021
Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/aamm.oa-2019-0017
American option pricingpenalty methodcomplementarity problemfitted finite volume methodregime-switching jump-diffusion model
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Integro-partial differential equations (35R09) Finite volume methods for boundary value problems involving PDEs (65N08)
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Cites Work
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