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

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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
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  Data: A semi-Lagrangian approach for American Asian options under jump diffusion.
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  Data: <searchLink fieldCode="AU" term="%22D'halluin%2C+Y%2E%22">D'halluin, Y.</searchLink><br /><searchLink fieldCode="AU" term="%22Forsyth%2C+P%2E+A%2E%22">Forsyth, P. A.</searchLink><br /><searchLink fieldCode="AU" term="%22Labahn%2C+G%2E%22">Labahn, G.</searchLink>
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        Value: 10.1137/030602630
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        Text: English
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      – TitleFull: A semi-Lagrangian approach for American Asian options under jump diffusion.
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