Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
type: Item
instance of: scholarly article
title: Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
zbMATH Open document ID: 1443.65199
author: Yanyan Li
publication date: 2020-10-11T00:00:00Z
Mathematics Subject Classification ID: 65M60
Mathematics Subject Classification ID: 45K05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7258766
zbMATH Keywords: Asian options
zbMATH Keywords: regime-switching
zbMATH Keywords: jump-diffusion
zbMATH Keywords: system of partial integro-differential equations
zbMATH Keywords: parallel computing
describes a project that uses: PDE2D
MaRDI profile type: Publication
full work available at URL: j.camwa.2015.12.017
OpenAlex ID: W3122704423
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DOI: 10.1016/J.CAMWA.2015.12.017
published in: Computers & Mathematics with Applications
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description: scientific article; zbMATH DE number 7258766