A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
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Publication:5693199
jump diffusionAmerican optionimplicit discretizationsemi-Lagrangiancontinuously observed Asian option
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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