Projection and contraction method for the valuation of American options under regime switching

DOI10.1016/j.cnsns.2022.106332MaRDI QIDQ6495298

Haiming Song, Jing-Bo Xu, Yutian Li, Jinda Yang

Publication date: 30 April 2024

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

zbMATH Keywords

finite element methodregime switchingAmerican optionsprojection and contraction method

Mathematics Subject Classification ID

Nonlinear programming (90C30) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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