An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing
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Publication:2241258
DOI10.1155/2021/1049907zbMath1499.91145OpenAlexW3204769496WikidataQ115521609 ScholiaQ115521609MaRDI QIDQ2241258
Mohamed Maidoumi, Mehdi Zahid, Boubker Daafi
Publication date: 8 November 2021
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2021/1049907
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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