A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
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Publication:5411503
DOI10.21314/JCF.2010.222zbMath1284.91575MaRDI QIDQ5411503
Publication date: 23 April 2014
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21314/jcf.2010.222
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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