An iterative method for pricing American options under jump-diffusion models

DOI10.1016/j.apnum.2011.02.002zbMath1213.91164OpenAlexW3124053904WikidataQ110098851 ScholiaQ110098851MaRDI QIDQ534258

Santtu Salmi, Jari Toivanen

Publication date: 17 May 2011

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2011.02.002

zbMATH Keywords

finite difference methodlinear complementarity problemiterative methodAmerican optionjump-diffusion model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)

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