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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.
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
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Header DbId: aci
DbLabel: Applied Science & Technology Source
An: 90006094
AccessLevel: 2
PubType: Academic Journal
PubTypeId: academicJournal
PreciseRelevancyScore: 0
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  Data: Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion.
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RecordInfo BibRecord:
  BibEntity:
    Identifiers:
      – Type: doi
        Value: 10.1016/j.apnum.2013.02.007
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      – Code: eng
        Text: English
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        PageCount: 19
        StartPage: 33
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      – TitleFull: Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion.
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            NameFull: Huang, Y.
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            NameFull: Forsyth, P.A.
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            NameFull: Labahn, G.
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            – D: 01
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              Text: Oct2013
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              Y: 2013
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              Value: 72
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