Anthony D. Holmes, Hongtao Yang, Shuhua Zhang. A front-fixing finite element method for the valuation of American options with regime switching. Int. J. Comput. Math., 89(9):1094-1111, 2012. [doi]
@article{HolmesYZ12,
title = {A front-fixing finite element method for the valuation of American options with regime switching},
author = {Anthony D. Holmes and Hongtao Yang and Shuhua Zhang},
year = {2012},
doi = {10.1080/00207160.2012.663911},
url = {http://dx.doi.org/10.1080/00207160.2012.663911},
researchr = {https://researchr.org/publication/HolmesYZ12},
cites = {0},
citedby = {0},
journal = {Int. J. Comput. Math.},
volume = {89},
number = {9},
pages = {1094-1111},
}