A finite difference scheme for pricing American put options under Kou's jump-diffusion model

DOI10.1155/2013/651573zbMath1264.91138WikidataQ59014581 ScholiaQ59014581MaRDI QIDQ1951078

Jian Huang, Zhongdi Cen, Anbo Le

Publication date: 29 May 2013

Published in: Journal of Function Spaces and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/651573

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65N06: Finite difference methods for boundary value problems involving PDEs