A numerical scheme for pricing American options with transaction costs under a jump diffusion process (Q2411163)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical scheme for pricing American options with transaction costs under a jump diffusion process |
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A numerical scheme for pricing American options with transaction costs under a jump diffusion process (English)
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20 October 2017
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American option pricing
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nonlinear partial integro-differential equation
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nonlinear complementarity problem
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upwind finite difference
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penalty method
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convergence
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