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]
@article{dHalluinFL05,
title = {A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion},
author = {Yann d Halluin and Peter A. Forsyth and George Labahn},
year = {2005},
doi = {10.1137/030602630},
url = {http://dx.doi.org/10.1137/030602630},
tags = {systematic-approach},
researchr = {https://researchr.org/publication/dHalluinFL05},
cites = {0},
citedby = {0},
journal = {SIAM J. Scientific Computing},
volume = {27},
number = {1},
pages = {315-345},
}