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

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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]

The following publications are possibly variants of this publication:

A Front-Fixing Finite Element Method for the Valuation of American OptionsAnthony D. Holmes, Hongtao Yang. siamsc, 30(4):2158-2180, 2008. [doi]

Projection and contraction method for the valuation of American options under regime switchingHaiming Song, Jingbo Xu, Jinda Yang, Yutian Li. cnsns, 109:106332, 2022. [doi]

Finite Element Error Estimates for a Nonlocal Problem in American Option ValuationWalter Allegretto, Yanping Lin, Hongtao Yang. siamnum, 39(3):834-857, 2001. [doi]

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