An iterative method for pricing American options under jump-diffusion models (Q534258)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An iterative method for pricing American options under jump-diffusion models |
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)
0 references
17 May 2011
0 references
American option
0 references
jump-diffusion model
0 references
finite difference method
0 references
linear complementarity problem
0 references
iterative method
0 references
