supported by the National Natural Science Foundation of China(No.61463002);the Special Basic Cooperative Research Programs of Yunnan Provincial Undergraduate Universities’ Association (No.2019FH001-079);the Yunnan Provincial Department of Education Science Research Fund Project (Nos.2019J0396,2016ZZX211);the Scientific Research Project of Chuxiong Normal University (No.XJYB2001)
This paper develops and analyses a novel numerical scheme to price European options under regime switching model which is governed by a system of partial differential equations(PDEs).To numerically solve these PDEs,we...
主要研究了一类状态转换下美式跳扩散期权定价模型的修正Crank-Nicolson拟合有限体积法并且给出收敛性分析.文章所构造的新方法是对[Gan X T,Yin J F,Li R,Fitted finite volume method for pricing American options under regime-swit...