A Modified Crank-Nicolson Fitted Finite Volume Method for American Options Under Regime-Switching Jump-Diffusion Processes

GAN Xiaoting, JIANG Zhongdong, LI Baorong

Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (1) : 178-196.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (1) : 178-196. DOI: 10.12341/jssms14103

A Modified Crank-Nicolson Fitted Finite Volume Method for American Options Under Regime-Switching Jump-Diffusion Processes

  • GAN Xiaoting 1,2 ,JIANG Zhongdong2 ,LI Baorong3
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2021, 41(1): 178-196 https://doi.org/10.12341/jssms14103

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