A robust nNumerical scheme for pricing American options under regime switching based on penalty method
Kai Zhang; K. L. Teo; M. Swartz
| Year of publication: |
2014
|
|---|---|
| Authors: | Zhang, K. ; Teo, Kok Lay ; Swartz, M. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 43.2014, 4, p. 463-483
|
| Subject: | American option pricing | Regime switching | Penalty method | Finite volume method | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010396243