An iterative method for pricing American options under jump-diffusion models (Q534258)
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scientific article; zbMATH DE number 5895493
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|---|---|---|---|
| default for all languages | No label defined |
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| English | An iterative method for pricing American options under jump-diffusion models |
scientific article; zbMATH DE number 5895493 |
Statements
An iterative method for pricing American options under jump-diffusion models (English)
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17 May 2011
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American option
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jump-diffusion model
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finite difference method
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linear complementarity problem
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iterative method
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0.9370354
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0.9239126
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0.9238467
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