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 |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion |
scientific article; zbMATH DE number 2207161 |
Statements
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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0.8568406105041504
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0.8520932197570801
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0.837828516960144
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0.8030853867530823
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