A fourth-order compact finite difference method combined with Hermite interpolation prices American put options under regime switching and computes Greeks in up to sixteen regimes.
On a frequency function approach to the unique continuation principle
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abstract
In this survey we discuss the frequency function method so as to study the problem of unique continuation for elliptic partial differential equations. The methods used in the note were mainly introduced by Garofalo and Lin.
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Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model
A fourth-order compact finite difference method combined with Hermite interpolation prices American put options under regime switching and computes Greeks in up to sixteen regimes.