An iterative method for pricing American options under jump-diffusion models
type: Item
instance of: scholarly article
title: An iterative method for pricing American options under jump-diffusion models
zbMATH Open document ID: 1213.91164
author: Santtu Salmi
author: Jari Toivanen
published in: Applied Numerical Mathematics
publication date: 2011-05-17T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65N06
Mathematics Subject Classification ID: 90C33
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5895493
zbMATH Keywords: American option
zbMATH Keywords: jump-diffusion model
zbMATH Keywords: finite difference method
zbMATH Keywords: linear complementarity problem
zbMATH Keywords: iterative method
MaRDI profile type: Publication
full work available at URL: j.apnum.2011.02.002
OpenAlex ID: W3124053904
Wikidata QID: Q110098851
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DOI: 10.1016/J.APNUM.2011.02.002
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description: scientific article; zbMATH DE number 5895493