Partial differential integral equation model for pricing American option under multi state regime switching with jumps

DOI10.1002/num.22791OpenAlexW3158136168WikidataQ114235177 ScholiaQ114235177MaRDI QIDQ6064497

Muhammad Irfan Yousuf, Abdul Q. M. Khaliq

Publication date: 12 December 2023

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.22791

zbMATH Keywords

American optionjump-diffusionregime-switchingpartial differential integral equationrationality parameter

Mathematics Subject Classification ID

Numerical analysis (65-XX) Partial differential equations (35-XX)

Cites Work

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