Hongang Yang

University of Technology Sydney (UTS)

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Pricing American Options Under Regime Switching Using Method of Lines

Number of pages: 19 Posted: 11 Feb 2016
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Technology Sydney (UTS)
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Abstract:

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American option, regime switching, method of lines