A semi-lagrangian approach for American Asian options under jump diffusion

SIAM Journal on Scientific Computing

Volumn 27, Issue 1, 2005, Pages 315-345

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

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

American option; Continuously observed Asian option; Implicit discretization; Jump diffusion; Semi lagrangian

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS; DIFFUSION; INTEGRODIFFERENTIAL EQUATIONS;

AMERICAN OPTION; CONTINUOUSLY OBSERVED ASIAN OPTION; IMPLICIT DISCRETIZATION; JUMP DIFFUSION; SEMI-LAGRANGIAN;

LAGRANGE MULTIPLIERS;

EID: 33144486497     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/030602630     Document Type: Article

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