A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models (Q3103546)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models |
scientific article |
Statements
A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models (English)
0 references
7 December 2011
0 references
American option pricing
0 references
partial integro-differential equation
0 references
finite difference method
0 references
linear complementarity problem
0 references
operator splitting method
0 references
