A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis

DOI10.1007/s40314-024-02862-9MaRDI QIDQ6590205

Xin Wen, Yutian Li, Haiming Song, Zihan Gao

Publication date: 21 August 2024

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

finite difference methodregime switchingAmerican optionsprimal-dual active set method

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Theoretical approximation in context of PDEs (35A35) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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