A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (Q5693199): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 23:53, 5 March 2024
scientific article; zbMATH DE number 2207161
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion |
scientific article; zbMATH DE number 2207161 |
Statements
A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (English)
0 references
22 September 2005
0 references
continuously observed Asian option
0 references
semi-Lagrangian
0 references
American option
0 references
jump diffusion
0 references
implicit discretization
0 references
