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International Journal of Computer Mathematics Volume 89, 2012 - Issue 9: COMPUTATIONAL METHODS FOR PDEs IN FINANCE
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Section B

A front-fixing finite element method for the valuation of American options with regime switching

Anthony D. Holmes Deloitte & Touche LLP, 1111 Bagby St. Ste 4500, Houston, TX, 77002, USA
,
Hongtao Yang Department of Mathematical Sciences, University of Nevada, Las Vegas, NV, 89154, USACorrespondence[email protected]
&
Shuhua Zhang Research Center for Mathematics and Economics, Tianjin University of Finance and Economics, Tianjin, 300222, China
Pages 1094-1111 | Received 04 Oct 2011, Accepted 27 Jan 2012, Published online: 21 Mar 2012

References

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