Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion.
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| Title: | Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion. |
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| Authors: | Huang, Y.1, yqhuang@ecemail.uwaterloo.ca, Forsyth, P.A.2, paforsyt@uwaterloo.ca, Labahn, G.2, glabahn@uwaterloo.ca |
| Source: | Applied Numerical Mathematics; Oct2013, Vol. 72, p33-51, 19p |
| Database: | Applied Science & Technology Source |
| ISSN: | 01689274 |
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| DOI: | 10.1016/j.apnum.2013.02.007 |
