Yann d'Halluin, Peter A. Forsyth, George Labahn. A penalty method for American options with jump diffusion processes. Numerische Mathematik, 97(2):321-352, 2004. [doi]
@article{dHalluinFL04,
title = {A penalty method for American options with jump diffusion processes},
author = {Yann d'Halluin and Peter A. Forsyth and George Labahn},
year = {2004},
doi = {10.1007/s00211-003-0511-8},
url = {http://dx.doi.org/10.1007/s00211-003-0511-8},
researchr = {https://researchr.org/publication/dHalluinFL04},
cites = {0},
citedby = {0},
journal = {Numerische Mathematik},
volume = {97},
number = {2},
pages = {321-352},
}