A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
type: Item
instance of: scholarly article
title: A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
zbMATH Open document ID: 1404.65090
author: S. Heidari
author: Hossein Azari
published in: Computational and Applied Mathematics
publication date: 2018-11-05T00:00:00Z
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M32
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 35R05
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 65H10
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35R35
zbMATH DE Number: 6973284
zbMATH Keywords: American option
zbMATH Keywords: jump-diffusion model
zbMATH Keywords: regime-switching model
zbMATH Keywords: front-fixing method
zbMATH Keywords: finite element method
zbMATH Keywords: free boundary problem
MaRDI profile type: Publication
full work available at URL: s40314-017-0540-z
OpenAlex ID: W2768977014
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DOI: 10.1007/S40314-017-0540-Z
description: scientific article; zbMATH DE number 6973284