A new high-order compact scheme for American options under jump-diffusion processes

2013 ◽  
Vol 8 (4) ◽  
pp. 363
Author(s):  
Radha Krishn Coonjobeharry ◽  
Désiré Yannick Tangman ◽  
Muddun Bhuruth
Keyword(s):  
Diffusion Processes ◽  
American Options ◽  
Jump Diffusion ◽  
High Order ◽  
Compact Scheme ◽  
Jump Diffusion Processes ◽  
High Order Compact Scheme

A penalty method for American options with jump diffusion processes

2004 ◽  
Vol 97 (2) ◽  
pp. 321-352 ◽  
Author(s):  
Y. d’Halluin ◽  
P.A. Forsyth ◽  
G. Labahn
Keyword(s):  
Penalty Method ◽  
Diffusion Processes ◽  
American Options ◽  
Jump Diffusion ◽  
Jump Diffusion Processes
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