@Article{EAJAM-10-3,
author = {Xiaoting, Gan and Yin, Junfeng},
title = {Pricing American Options under Regime-Switching Model with a Crank-Nicolson Fitted Finite Volume Method},
journal = {East Asian Journal on Applied Mathematics},
year = {2020},
volume = {10},
number = {3},
pages = {499--519},
abstract = {<p style="text-align: justify;">A new numerical method for pricing American options under regime-switching model is developed. The original problem is first approximated by a set of nonlinear partial differential equations. After that a novel fitted finite volume method for the
spatial discretisation of the nonlinear penalised system of partial differential equations
is coupled with the Crank-Nicolson time stepping scheme. It is shown that the discretisation scheme is consistent, stable, monotone and hence convergent. In order to solve
nonlinear algebraic systems, we apply an iterative algorithm and show its convergence.
Numerical experiments demonstrate the convergence, efficiency and robustness of the
numerical method.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.170919.221219},
url = {https://global-sci.com/article/82567/pricing-american-options-under-regime-switching-model-with-a-crank-nicolson-fitted-finite-volume-method}
}