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

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

Chinonso Nwankwo, Weizhong Dai, Ruihua Liu

We consider a system of coupled free boundary problems for pricing American put options with regime-switching. To solve this system, we first employ the logarithmic transformation…