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free boundary problem
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homotopy analysis method
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An analytic approach for pricing American options with regime switching
Chan, Leunglung
;
Zhu, Song-Ping
- In:
Journal of Risk and Financial Management
14
(
2021
)
5
,
pp. 1-20
homotopy
analysis
method
, an explicit formula for pricing two-state regime-switching American options is presented. …
Persistent link: https://www.econbiz.de/10012611745
Saved in:
2
An analytic approach for pricing American options with regime switching
Chan, Leunglung
;
Zhu, Song-Ping
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
5
,
pp. 1-20
homotopy
analysis
method
, an explicit formula for pricing two-state regime-switching American options is presented. …
Persistent link: https://www.econbiz.de/10012533592
Saved in:
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