Error analysis of finite difference scheme for American option pricing under regime-switching with jumps.
Cunxin HuangHaiming SongJinda YangBocheng ZhouPublished in: J. Comput. Appl. Math. (2024)
Keyphrases
- error analysis
- finite difference
- option pricing
- numerical scheme
- numerical solution
- least squares
- finite element
- semi implicit
- numerical analysis
- partial differential equations
- error correction
- black scholes
- decision analysis
- markov chain
- stock price
- black scholes model
- real option
- level set
- reinforcement learning
- data mining