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International Journal of Computer Mathematics Volume 100, 2023 - Issue 7

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Research Article

An integral equation approach for pricing American put options under regime-switching model

Song-Ping ZhuSchool of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW, Australia

Yawen ZhengSchool of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW, AustraliaCorrespondence[email protected]

Pages 1454-1479 | Received 28 Apr 2022, Accepted 05 Mar 2023, Published online: 20 Mar 2023

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https://doi.org/10.1080/00207160.2023.2190828
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Citations (3)

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Articles from other publishers (3)

Haiming Song, Jingbo Xu, Jinda Yang & Yutian Li. (2024) Primal‐dual active set algorithm for valuating American options under regime switching. Numerical Methods for Partial Differential Equations.
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Chinonso I. Nwankwo & Weizhong Dai. (2023) Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model. Decisions in Economics and Finance.
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Yawen Zheng & Song-Ping Zhu. (2022) A Generalized Approach for Pricing American Options Under Regime-Switching Model. SSRN Electronic Journal.
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