"A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion."

Yann d'Halluin, Peter A. Forsyth, George Labahn (2005)

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DOI: 10.1137/030602630

access: closed

type: Journal Article

metadata version: 2020-07-30

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Yann d'Halluin, Peter A. Forsyth, George Labahn:
A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion. SIAM J. Sci. Comput. 27(1): 315-345 (2005)

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