Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion

DOI10.1016/J.APNUM.2013.02.007MaRDI QIDQ465077zbMATH OpenOpenAlexFDO

Authors Yiqing Huang, G. Labahn, P. A. Forsyth

Publication date 31 October 2014

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2013.02.007

zbMATH Keywords

jump diffusionAmerican optionsinexact arithmetic

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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