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"A robust numerical method for pricing American options under Kou's ..."

Xiaoting Gan, Ying Yang, Kun Zhang (2020)

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DOI: 10.1007/S12190-019-01270-1

access: closed

type: Journal Article

metadata version: 2023-05-13

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Xiaoting Gan, Ying Yang, Kun Zhang:
A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method. J. Appl. Math. Comput. 62(1-2): 1-21 (2020)

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