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A New Efficient Numerical Method for Solving American Option under Regime Switching Model

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A New Efficient Numerical Method for Solving American Option under Regime Switching Model

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Egorova, V.; Company Rossi, R.; Jódar Sánchez, LA. (2016). A New Efficient Numerical Method for Solving American Option under Regime Switching Model. Computers and Mathematics with Applications. 71:224-237. https://doi.org/10.1016/j.camwa.2015.11.019

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/81434

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Title: A New Efficient Numerical Method for Solving American Option under Regime Switching Model
Author: Egorova, Vera Company Rossi, Rafael Jódar Sánchez, Lucas Antonio
UPV Unit: Universitat Politècnica de València. Escuela Técnica Superior de Ingenieros de Caminos, Canales y Puertos - Escola Tècnica Superior d'Enginyers de Camins, Canals i Ports
Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Universitat Politècnica de València. Facultad de Administración y Dirección de Empresas - Facultat d'Administració i Direcció d'Empreses
Issued date:
Abstract:
[EN] A system of coupled free boundary problems describing American put option pricing under regime switching is considered. In order to build numerical solution firstly a front-fixing transformation is applied. Transformed ...[+]
Subjects: Regime switching , Front-fixing transformation , Free boundary , Finite difference methods , Numerical analysis
Copyrigths: Reserva de todos los derechos
Source:
Computers and Mathematics with Applications. (issn: 0898-1221 )
DOI: 10.1016/j.camwa.2015.11.019
Publisher:
Elsevier
Publisher version: https://doi.org/10.1016/j.camwa.2015.11.019
Project ID:
info:eu-repo/grantAgreement/MINECO//MTM2013-41765-P/ES/METODOS COMPUTACIONALES PARA ECUACIONES DIFERENCIALES ALEATORIAS: TEORIA Y APLICACIONES/
info:eu-repo/grantAgreement/EC/FP7/304617/PEOPLE-2012-ITN/EU/
Thanks:
This work has been partially supported by the European Union in the FP7- PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) ...[+]
Type: Artículo

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