Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions (Q1044217)
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scientific article; zbMATH DE number 5645699
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| default for all languages | No label defined |
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| English | Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions |
scientific article; zbMATH DE number 5645699 |
Statements
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions (English)
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11 December 2009
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pricing derivatives
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American options
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jump diffusions
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barrier options
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finite difference methods
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0.9285779
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0.9162558
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0.9034554
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0.9027641
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