An iterative method for pricing American options under jump-diffusion models (Q534258): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+N06
@@ Property / Mathematics Subject Classification ID: 65N06 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C33
@@ Property / Mathematics Subject Classification ID: 90C33 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5895493
@@ Property / zbMATH DE Number: 5895493 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+American option
@@ Property / zbMATH Keywords: American option / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump-diffusion model
@@ Property / zbMATH Keywords: jump-diffusion model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite difference method
@@ Property / zbMATH Keywords: finite difference method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+linear complementarity problem
@@ Property / zbMATH Keywords: linear complementarity problem / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+iterative method
@@ Property / zbMATH Keywords: iterative method / rank @@
+Normal rank

Revision as of 08:38, 1 July 2023