{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,24]],"date-time":"2026-03-24T17:44:58Z","timestamp":1774374298069,"version":"3.50.1"},"reference-count":26,"publisher":"Springer Science and Business Media LLC","issue":"6","license":[{"start":{"date-parts":[[2024,7,26]],"date-time":"2024-07-26T00:00:00Z","timestamp":1721952000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2024,7,26]],"date-time":"2024-07-26T00:00:00Z","timestamp":1721952000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"funder":[{"DOI":"10.13039\/100007847","name":"Natural Science Foundation of Jilin Province","doi-asserted-by":"publisher","award":["20200201269JC"],"award-info":[{"award-number":["20200201269JC"]}],"id":[{"id":"10.13039\/100007847","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100017610","name":"Shenzhen Science and Technology Innovation Program","doi-asserted-by":"publisher","award":["20220816165920001"],"award-info":[{"award-number":["20220816165920001"]}],"id":[{"id":"10.13039\/501100017610","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Comp. Appl. Math."],"published-print":{"date-parts":[[2024,9]]},"DOI":"10.1007\/s40314-024-02862-9","type":"journal-article","created":{"date-parts":[[2024,7,27]],"date-time":"2024-07-27T00:02:52Z","timestamp":1722038572000},"update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis"],"prefix":"10.1007","volume":"43","author":[{"given":"Xin","family":"Wen","sequence":"first","affiliation":[]},{"given":"Haiming","family":"Song","sequence":"additional","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1810-3000","authenticated-orcid":false,"given":"Yutian","family":"Li","sequence":"additional","affiliation":[]},{"given":"Zihan","family":"Gao","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2024,7,26]]},"reference":[{"key":"2862_CR1","doi-asserted-by":"publisher","first-page":"409","DOI":"10.1007\/s10915-013-9739-3","volume":"58","author":"J Babbin","year":"2014","unstructured":"Babbin J, Forsyth P, Labahn G (2014) A comparison of iterated optimal stopping and local policy iteration for American options under regime switching. J Sci Comput 58:409\u2013430","journal-title":"J Sci Comput"},{"key":"2862_CR2","doi-asserted-by":"publisher","first-page":"79","DOI":"10.1016\/j.apnum.2012.10.005","volume":"65","author":"A Bastani","year":"2013","unstructured":"Bastani A, Ahmadi Z, Damircheli D (2013) A radial basis collocation method for pricing American options under regime-switching jump-diffusion models. Appl Numer Math 65:79\u201390","journal-title":"Appl Numer Math"},{"key":"2862_CR3","doi-asserted-by":"publisher","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"F Black","year":"1973","unstructured":"Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81:637\u2013654","journal-title":"J Polit Econ"},{"key":"2862_CR4","doi-asserted-by":"publisher","first-page":"497","DOI":"10.1142\/S0219024902001523","volume":"5","author":"J Buffington","year":"2002","unstructured":"Buffington J, Elliott R (2002) American options with regime switching. Int J Theor Appl Finance 5:497\u2013514","journal-title":"Int J Theor Appl Finance"},{"key":"2862_CR5","doi-asserted-by":"publisher","first-page":"188","DOI":"10.3390\/jrfm14050188","volume":"5","author":"L Chan","year":"2021","unstructured":"Chan L, Zhu S (2021) An analytic approach for pricing American options with regime switching. J Risk Finan Manag 5:188","journal-title":"J Risk Finan Manag"},{"key":"2862_CR6","doi-asserted-by":"publisher","first-page":"741","DOI":"10.1016\/j.camwa.2016.05.026","volume":"72","author":"R Company","year":"2016","unstructured":"Company R, Egorova V, Jodar L, Vazquez C (2016) Computing American option price under regime switching with rationality parameter. Comput Math Appl 72:741\u2013754","journal-title":"Comput Math Appl"},{"key":"2862_CR7","doi-asserted-by":"crossref","unstructured":"Cottle R, Pang J, Stone R (2009) The linear complementarity problem. SIAM","DOI":"10.1137\/1.9780898719000"},{"key":"2862_CR8","doi-asserted-by":"publisher","first-page":"224","DOI":"10.1016\/j.camwa.2015.11.019","volume":"71","author":"V Egorova","year":"2016","unstructured":"Egorova V, Company R, Jodar L (2016) A new efficient numerical method for solving American option under regime switching model. Comput Math Appl 71:224\u2013237","journal-title":"Comput Math Appl"},{"key":"2862_CR9","unstructured":"Elliott C, Ockendon J (1982) Weak and variational methods for moving boundary problems. Pitman Publishing, London, No.\u00a00-273-08503-4"},{"key":"2862_CR10","doi-asserted-by":"publisher","first-page":"38","DOI":"10.1080\/713665550","volume":"1","author":"X Guo","year":"2001","unstructured":"Guo X (2001) Information and option pricings. Quant Fiance 1:38\u201344","journal-title":"Quant Fiance"},{"key":"2862_CR11","doi-asserted-by":"publisher","first-page":"2034","DOI":"10.1137\/S0036139903426083","volume":"64","author":"X Guo","year":"2004","unstructured":"Guo X, Zhang Q (2004) Closed-form solutions for perpetual American put options with regime switching. SIAM J Appl Math 64:2034\u20132049","journal-title":"SIAM J Appl Math"},{"key":"2862_CR12","doi-asserted-by":"publisher","first-page":"357","DOI":"10.2307\/1912559","volume":"57","author":"J Hamilton","year":"1989","unstructured":"Hamilton J (1989) A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57:357\u2013384","journal-title":"Econometrica"},{"key":"2862_CR13","doi-asserted-by":"publisher","first-page":"865","DOI":"10.1137\/S1052623401383558","volume":"13","author":"M Hinterm\u00fcller","year":"2003","unstructured":"Hinterm\u00fcller M, Ito K, Kunisch K (2003) The primal-dual active set strategy as a semismooth Newton method. SIAM J Optim 13:865\u2013888","journal-title":"SIAM J Optim"},{"key":"2862_CR14","doi-asserted-by":"publisher","first-page":"591","DOI":"10.1016\/S0362-546X(98)00299-5","volume":"41","author":"K Ito","year":"2000","unstructured":"Ito K, Kunisch K (2000) Augmented Lagrangian methods for nonsmooth convex optimization in Hilbert spaces. Nonlinear Anal 41:591\u2013616","journal-title":"Nonlinear Anal"},{"key":"2862_CR15","doi-asserted-by":"publisher","first-page":"319","DOI":"10.1142\/S0219024909005245","volume":"12","author":"A Khaliq","year":"2009","unstructured":"Khaliq A, Liu R (2009) New numerical scheme for pricing American option with regime-switching. Int J Theor Appl Finance 12:319\u2013340","journal-title":"Int J Theor Appl Finance"},{"key":"2862_CR16","doi-asserted-by":"publisher","first-page":"479","DOI":"10.1142\/S0219024910005863","volume":"13","author":"R Liu","year":"2010","unstructured":"Liu R (2010) Regime-switching recombining tree for option pricing. Int J Theor Appl Finance 13:479\u2013499","journal-title":"Int J Theor Appl Finance"},{"key":"2862_CR17","doi-asserted-by":"publisher","first-page":"2609","DOI":"10.1016\/j.nonrwa.2012.03.006","volume":"13","author":"R Liu","year":"2012","unstructured":"Liu R (2012) A new tree method for pricing financial derivatives in a regime-switching mean-reverting model. Nonlinear Anal Real World Appl 13:2609\u20132621","journal-title":"Nonlinear Anal Real World Appl"},{"key":"2862_CR18","doi-asserted-by":"publisher","first-page":"581","DOI":"10.1016\/j.orl.2004.12.003","volume":"33","author":"R Mamon","year":"2005","unstructured":"Mamon R, Rodrigo M (2005) Explicit solutions to European options in a regime-switching economy. Oper Res Lett 33:581\u2013586","journal-title":"Oper Res Lett"},{"key":"2862_CR19","doi-asserted-by":"publisher","first-page":"817","DOI":"10.1007\/s10614-022-10282-2","volume":"62","author":"C Nwankwo","year":"2023","unstructured":"Nwankwo C, Dai W, Liu R (2023) Compact finite difference scheme with hermite interpolation for pricing American put options based on regime switching model. Comput Econ 62:817\u2013854","journal-title":"Comput Econ"},{"key":"2862_CR20","doi-asserted-by":"publisher","DOI":"10.1016\/j.cnsns.2022.106332","volume":"109","author":"H Song","year":"2022","unstructured":"Song H, Xu J, Yang J, Li Y (2022) Projection and contraction method for the valuation of American options under regime switching. Commun Nonlinear Sci Numer Simul 109:106332","journal-title":"Commun Nonlinear Sci Numer Simul"},{"key":"2862_CR21","doi-asserted-by":"publisher","first-page":"81","DOI":"10.1007\/BF01395933","volume":"19","author":"G Strang","year":"1972","unstructured":"Strang G (1972) Approximation in the finite element method. Numer Math 19:81\u201398","journal-title":"Numer Math"},{"key":"2862_CR22","doi-asserted-by":"publisher","first-page":"566","DOI":"10.4208\/nmtma.OA-2018-0025","volume":"12","author":"J Xing","year":"2019","unstructured":"Xing J, Ma J (2019) Numerical methods for system parabolic variational inequalities from regime-switching American option pricing. Numer Math Theory Methods Appl 12:566\u2013593","journal-title":"Numer Math Theory Methods Appl"},{"key":"2862_CR23","doi-asserted-by":"publisher","first-page":"69","DOI":"10.1007\/s10915-010-9365-2","volume":"44","author":"H Yang","year":"2010","unstructured":"Yang H (2010) A numerical analysis of American options with regime switching. J Sci Comput 44:69\u201391","journal-title":"J Sci Comput"},{"key":"2862_CR24","doi-asserted-by":"publisher","first-page":"97","DOI":"10.1016\/j.cam.2016.12.036","volume":"319","author":"S Zhang","year":"2017","unstructured":"Zhang S (2017) Radial basis functions method for valuing options: A multinomial tree approach. J Comput Appl Math 319:97\u2013107","journal-title":"J Comput Appl Math"},{"key":"2862_CR25","doi-asserted-by":"publisher","first-page":"484","DOI":"10.4208\/jcm.2009.27.4.015","volume":"27","author":"T Zhang","year":"2009","unstructured":"Zhang T, Zhang S, Zhu D (2009) Finite difference approximation for pricing the American lookback option. J Comput Math 27:484\u2013494","journal-title":"J Comput Math"},{"key":"2862_CR26","doi-asserted-by":"publisher","first-page":"1454","DOI":"10.1080\/00207160.2023.2190828","volume":"100","author":"S Zhu","year":"2023","unstructured":"Zhu S, Zheng Y (2023) An integral equation approach for pricing American put options under regime-switching model. Int J Comput Math 100:1454\u20131479","journal-title":"Int J Comput Math"}],"container-title":["Computational and Applied Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s40314-024-02862-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s40314-024-02862-9\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s40314-024-02862-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,9,13]],"date-time":"2024-09-13T13:39:34Z","timestamp":1726234774000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s40314-024-02862-9"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,7,26]]},"references-count":26,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2024,9]]}},"alternative-id":["2862"],"URL":"https:\/\/doi.org\/10.1007\/s40314-024-02862-9","relation":{},"ISSN":["2238-3603","1807-0302"],"issn-type":[{"value":"2238-3603","type":"print"},{"value":"1807-0302","type":"electronic"}],"subject":[],"published":{"date-parts":[[2024,7,26]]},"assertion":[{"value":"4 April 2024","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"26 June 2024","order":2,"name":"revised","label":"Revised","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"11 July 2024","order":3,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"26 July 2024","order":4,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}},{"order":1,"name":"Ethics","group":{"name":"EthicsHeading","label":"Declarations"}},{"value":"All authors declare that this work has no conflict of interest.","order":2,"name":"Ethics","group":{"name":"EthicsHeading","label":"Conflict of interest"}}],"article-number":"345"}}