A semilinear equation for the American option in a general jump market

DOI10.4171/IFB/219zbMath1182.91218OpenAlexW2021305985MaRDI QIDQ846248

Olli Wallin, Kenneth Hvistendahl Karlsen

Publication date: 2 February 2010

Published in: Interfaces and Free Boundaries (Search for Journal in Brave)

Full work available at URL: http://www.ems-ph.org/

zbMATH Keywords

American optionsintegro-differential equationstrong comparison principleviscosity solutions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models

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