Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options

DOI10.1002/mma.8793MaRDI QIDQ6183005

S. Heidari

Publication date: 22 December 2023

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

zbMATH Keywords

finite element methodfree boundary problemlinear complementarity problemregime-switching modelcontinuous-installment option

Mathematics Subject Classification ID

Finite element methods applied to problems in solid mechanics (74S05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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