A Robust Numerical Scheme for Pricing American Options Under Regime Switching Based on Penalty Method

A Robust Numerical Scheme for Pricing American Options Under Regime Switching Based on Penalty Method

This paper is devoted to develop a robust numerical method to solve a system of complementarity problems (CPs) arising from pricing American options under regime switching. Based on a penalty method, the system of complementarity problems are approximated by a set of coupled nonlinear partial differ...

Full description

Bibliographic Details
Main Authors: Zhang, Kai, Teo, Kok Lay, Swartz, Mick
Format: Journal Article
Published: Springer US 2013
Subjects:
Finite Volume Method
American Option Pricing
Regime Switching
Penalty Method
Online Access:http://hdl.handle.net/20.500.11937/42188

Internet

http://hdl.handle.net/20.500.11937/42188

Similar Items