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Option pricing theory
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American put options with regime switching
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Black-Scholes model
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Compact finite difference method
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Derivat
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Hermite interpolation
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High-order compact finite difference method
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Logarithmic transformation
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Computational economics
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Compact finite difference scheme with hermite interpolation for pricing American put options based on regime switching model
Nwankwo, Chinonso I.
;
Dai, Weizhong
;
Liu, Rui Hua
- In:
Computational economics
62
(
2023
)
3
,
pp. 817-854
Persistent link: https://www.econbiz.de/10014382839
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2
Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme
Shi, Guangping
;
Liu, Xiaoxing
;
Tang, Pan
- In:
Finance research letters
16
(
2016
),
pp. 220-229
Persistent link: https://www.econbiz.de/10011656186
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