A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

Yann d Halluin, Peter A. Forsyth, George Labahn. A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion. SIAM J. Scientific Computing, 27(1):315-345, 2005. [doi]

Authors

Yann d Halluin

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Peter A. Forsyth

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George Labahn

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