Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538)
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scientific article; zbMATH DE number 6127877
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| English | Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models |
scientific article; zbMATH DE number 6127877 |
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Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (English)
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22 January 2013
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jump-diffusion model
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American option
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linear complementarity problem
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finite difference method
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iterative method
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0.8677634596824646
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0.8575131297111511
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0.8537527918815613
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0.8467775583267212
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0.8408997058868408
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