Convergence rate of the high‐order finite difference method for option pricing in markov regime‐switching jump‐diffusion model

HIGHLIGHTS

• who: Admin from the Shanghai Technical Institute of Electronics and Information, Shanghai, China have published the article: Convergence Rate of the High‐Order Finite Difference Method for Option Pricing in Markov Regime‐Switching Jump‐Diffusion Model, in the Journal: (JOURNAL)
• what: The aim of this article is to investigate the convergence rate of the high‐order difference scheme -(15) for option pricing assuming a Markov regime‐switching jump‐diffusion model followed by the underlying asset.
• future: 8 of 9 For future research it is worth investigating the convergence rate of the high‐order . . .
  

   

  

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