A penalty method for American options with jump diffusion processes

Numerische Mathematik

Volumn 97, Issue 2, 2004, Pages 321-352

  D'Halluin, Y ^a   Forsyth, P A ^a   Labahn, G ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 2442536011     PISSN: 0029599X     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00211-003-0511-8     Document Type: Article

References (41)

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