An iterative method for pricing American options under jump-diffusion models (Q534258): Difference between revisions
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Revision as of 23:22, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An iterative method for pricing American options under jump-diffusion models |
scientific article |
Statements
An iterative method for pricing American options under jump-diffusion models (English)
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17 May 2011
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American option
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jump-diffusion model
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finite difference method
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linear complementarity problem
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iterative method
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