A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
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Publication:5693199
DOI10.1137/030602630zbMath1149.65316OpenAlexW2030828704MaRDI QIDQ5693199
Y. d'Halluin, Peter A. I. Forsyth, George Labahn
Publication date: 22 September 2005
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/030602630
American optionsemi-Lagrangianimplicit discretizationjump diffusioncontinuously 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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