Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion (Q465077): Difference between revisions

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@@ Property / DOI @@
-.1016/j.apnum.2013.02.007
@@ Property / DOI: 10.1016/j.apnum.2013.02.007 / rank @@
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+Peter A. I. Forsyth
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+W1976472503
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@@ Property / DOI @@
+.1016/J.APNUM.2013.02.007
@@ Property / DOI: 10.1016/J.APNUM.2013.02.007 / rank @@
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+A penalty method for American options with jump diffusion processes
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+An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing
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+A power penalty approach to American option pricing with jump diffusion processes
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+Error estimates for multinomial approximations of American options in a class of jump diffusion models
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+Hedging error estimate of the american put option problem in jump-diffusion processes
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+American-style options in jump-diffusion models: estimation and evaluation
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+Similarity Score: 0.8740757Amount 0.8740757
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+Numerical performance of penalty method for American option pricing
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+Similarity Score: 0.8730342Amount 0.8730342
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+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
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+Similarity Score: 0.872771Amount 0.872771
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+Penalty methods for the numerical solution of American multi-asset option problems
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+Similarity Score: 0.87237704Amount 0.87237704
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+Recommender Run: Recommender Run 2