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"A penalty method for American options with jump diffusion processes."

Yann d'Halluin, Peter A. Forsyth, George Labahn (2004)

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DOI: 10.1007/S00211-003-0511-8

access: closed

type: Journal Article

metadata version: 2017-05-28

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Yann d'Halluin, Peter A. Forsyth, George Labahn:
A penalty method for American options with jump diffusion processes. Numerische Mathematik 97(2): 321-352 (2004)

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