A semi-Lagrangian approach for American Asian options under jump diffusion.

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Bibliographic Details
Title:	A semi-Lagrangian approach for American Asian options under jump diffusion.
Authors:	D'halluin, Y., Forsyth, P. A., Labahn, G.
Source:	SIAM Journal on Scientific Computing; 2005, Vol. 27 Issue 1, p315-345, 31p
Database:	Applied Science & Technology Source

Description
ISSN:	10648275
DOI:	10.1137/030602630