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A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis

Published Online: 2024-07-26

Published Print: 2024-09

Authors

Wen, Xin

Song, Haiming

Li, Yutian https://orcid.org/0000-0003-1810-3000
Gao, Zihan
Funding

Funding for this research was provided by:

Natural Science Foundation of Jilin Province (20200201269JC)

Shenzhen Science and Technology Innovation Program (20220816165920001)
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Text and Data Mining valid from 2024-07-26

Version of Record valid from 2024-07-26
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Article History

Received: 4 April 2024

Revised: 26 June 2024

Accepted: 11 July 2024

First Online: 26 July 2024

Declarations

:

: All authors declare that this work has no conflict of interest.

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