A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (Q5693199)
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scientific article; zbMATH DE number 2207161
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion |
scientific article; zbMATH DE number 2207161 |
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A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (English)
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22 September 2005
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continuously observed Asian option
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semi-Lagrangian
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American option
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jump diffusion
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implicit discretization
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