A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/030602630
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1. Finite element modified method of characteristics for the Navier-Stokes equations
2. The pricing of discretely sampled Asian and lookback options: a change of numeraire approach
3. Convergence of approximation schemes for fully nonlinear second order equations
4. PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
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