Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion
DOI10.1016/J.APNUM.2013.02.007zbMATH Open1394.91336OpenAlexW1976472503MaRDI QIDQ465077FDOQ465077
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
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