A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models (Q3103546): Difference between revisions
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Latest revision as of 01:24, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models |
scientific article |
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A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models (English)
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7 December 2011
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American option pricing
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partial integro-differential equation
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finite difference method
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linear complementarity problem
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operator splitting method
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