A penalty method for American options with jump diffusion processes

Y. d’Halluin, Peter Forsyth, George Labahn

Type: Article

Publication Date: 2004-01-08

Citations: 201

DOI: https://doi.org/10.1007/s00211-003-0511-8

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Numerische Mathematik - View

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+	Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory	1997	Guy Barles
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+ PDF Chat	Analysis of the stability of the linear boundary condition for the Black–Scholes equation	2004	H. Windcliff Peter Forsyth K.R. Vetzal
+	Fast Fourier Transforms for Nonequispaced Data: A Tutorial	2001	Daniel Potts Gabriele Steidl Manfred Tasche
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+	The Linear Complementarity Problem	2009	Richard W. Cottle Jong‐Shi Pang Richard Stone
+	User’s guide to viscosity solutions of second order partial differential equations	1992	Michael G. Crandall Hitoshi Ishii Pierre-Louis Lions
+	An approximation of American option prices in a jump-diffusion model	1996	Sabrina Mulinacci
+	Algorithms: Fear of jumps	2002	Alan Lewis
+	Numerical valuation of options with jumps in the underlying	2004	Ariel Almendral Cornelis W. Oosterlee