Compact finite difference scheme with hermite interpolation for pricing American put options based on regime switching model
Chinonso I. Nwankwo, Weizhong Dai, Ruihua Liu
| Year of publication: |
2023
|
|---|---|
| Authors: | Nwankwo, Chinonso I. ; Dai, Weizhong ; Liu, Rui Hua |
| Subject: | American put options with regime switching | Compact finite difference method | Hermite interpolation | Logarithmic transformation | Optimal exercise boundary | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Markov-Kette | Markov chain |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10282-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014382839