A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method (Q2053265)
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scientific article; zbMATH DE number 7435245
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method |
scientific article; zbMATH DE number 7435245 |
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A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method (English)
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29 November 2021
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Kou's jump-diffusion model
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partial integro-differential complementarity problem
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fitted finite volume method
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penalty method
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