Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
type: Item
instance of: scholarly article
title: Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
zbMATH Open document ID: 1415.91322
author: M. Yousuf
author: Salah Alrabeei
author: A. Q. M. Khaliq
publication date: 2019-06-27T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 65M12
zbMATH DE Number: 7074102
zbMATH Keywords: partial integral differential equations
zbMATH Keywords: \(L\)-stable methods
zbMATH Keywords: American options
zbMATH Keywords: regime switching
zbMATH Keywords: jump-diffusion
MaRDI profile type: Publication
full work available at URL: j.camwa.2018.01.026
OpenAlex ID: W2789586952
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DOI: 10.1016/J.CAMWA.2018.01.026
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7074102