A power penalty approach to American option pricing with jump diffusion processes
type: Item
instance of: scholarly article
title: A power penalty approach to American option pricing with jump diffusion processes
zbMATH Open document ID: 1157.91378
author: Kai Zhang
author: Xiao Qi Yang
author: Kok Lay Teo
published in: Journal of Industrial and Management Optimization
publication date: 2009-03-30T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 35K85
Mathematics Subject Classification ID: 35R60
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5535072
zbMATH Keywords: American option pricing
zbMATH Keywords: penalty method
zbMATH Keywords: finite element method
MaRDI profile type: Publication
full work available at URL: jimo.2008.4.783
OpenAlex ID: W2319795127
DOI: 10.3934/JIMO.2008.4.783
description: scientific article; zbMATH DE number 5535072