Abdul Q. M. Khaliq

Middle Tennessee State University

P.O. Box 50

Murfreesboro, TN 37132

United States

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Scholarly Papers (1)

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New Numerical Scheme for Pricing American Option with Regime-Switching

International Journal of Theoretical and Applied Finance, Vol. 12, No. 3, pp. 319-340, 2009
Posted: 16 Apr 2010 Last Revised: 21 Apr 2010
Abdul Q. M. Khaliq and R. H. Liu
Middle Tennessee State University and University of Dayton - Department of Mathematics

Abstract:

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American Option, Regime-Switching, Implicit Scheme, Penalty Method, Θ-Method, Free Boundary Value Problem