关键词: 体制转换, 美式看跌期权, 差分法, 投影收缩算法

Abstract: We considered  the pricing of American put options under  regime-switching model. Firstly, we designed a semi-implicit difference scheme to solve this kind of option pricing problem according to the characteristics of the problem. Secondly, based on the structure of discretized nonlinear systems, we constructed the projection and contraction methods for solving discretized systems. Finally, we verified the correctness and effectiveness of the algorithm through numerical experiments.

Key words: regime-switching, American put options, difference method, projection and contraction method (PCM)