Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model

Chinonso I. Nwankwo; Weizhong Dai; Ruihua Liu

doi:10.1007/s10614-022-10282-2

Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model

Chinonso I. Nwankwo
, Weizhong Dai
, Ruihua Liu

University of Illinois
Louisiana Tech University
University of Dayton

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	817-854
Number of pages	38
Journal	Computational Economics
Volume	62
Issue number	3
DOIs	https://doi.org/10.1007/s10614-022-10282-2
State	Published - Oct 2023
Externally published	Yes

ASJC Scopus Subject Areas

Economics, Econometrics and Finance (miscellaneous)
Computer Science Applications

Keywords

American put options with regime switching
Compact finite difference method
Hermite interpolation
Logarithmic transformation
Optimal exercise boundary

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10.1007/s10614-022-10282-2

Cite this

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title = "Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model",

keywords = "American put options with regime switching, Compact finite difference method, Hermite interpolation, Logarithmic transformation, Optimal exercise boundary",

author = "Nwankwo, \{Chinonso I.\} and Weizhong Dai and Ruihua Liu",

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AU - Dai, Weizhong

AU - Liu, Ruihua

PY - 2023/10

Y1 - 2023/10

KW - American put options with regime switching

KW - Compact finite difference method

KW - Hermite interpolation

KW - Logarithmic transformation

KW - Optimal exercise boundary

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DO - 10.1007/s10614-022-10282-2

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JO - Computational Economics

JF - Computational Economics

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Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model

ASJC Scopus Subject Areas

Keywords

Access to Document

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