"A front-fixing finite element method for the valuation of American options ..."

Anthony D. Holmes, Hongtao Yang, Shuhua Zhang (2012)

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DOI: 10.1080/00207160.2012.663911

access: closed

type: Journal Article

metadata version: 2024-10-06

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Anthony D. Holmes, Hongtao Yang, Shuhua Zhang:
A front-fixing finite element method for the valuation of American options with regime switching. Int. J. Comput. Math. 89(9): 1094-1111 (2012)

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