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

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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...

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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

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