A penalty method for American options with jump diffusion processes

DOI10.1007/S00211-003-0511-8zbMath1126.91036OpenAlexW1994111439MaRDI QIDQ1889909

Y. d'Halluin, Peter A. I. Forsyth, George Labahn

Publication date: 13 December 2004

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-003-0511-8

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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