A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
نویسندگان
چکیده
منابع مشابه
A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
A semi-Lagrangian method is presented to price continuously observed fixed strike Asian options. At each timestep a set of one dimensional partial integral differential equations (PIDEs) is solved and the solution of each PIDE is updated using semi-Lagrangian timestepping. Crank-Nicolson and second order backward differencing timestepping schemes are studied. Monotonicity and stability results ...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2005
ISSN: 1064-8275,1095-7197
DOI: 10.1137/030602630