Numerical Determination of the Right Boundary Condition for Regime–Switching Models of European Options from Point Observations.

This paper is devoted to develop a robust numerical algorithm to solve inverse problems of determining the right boundary conditions according to measurements inside a truncated domain for regime-switching models of European options. Difference schemes on Tavella-Randall grids are derived. We propose and discuss results of computational experiments for a several European options. [ABSTRACT FROM AUTHOR]