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A robust numerical method for pricing American options under Kou’s jump-diffusion models based on penalty method

Published Online: 2019-05-23

Published Print: 2020-02

Authors

Gan, Xiaoting

Yang, Ying

Zhang, Kun
Funding

Funding for this research was provided by:

National Natural Science Foundation of China (11561016, 11661027)
License Information

Text and Data Mining valid from 2019-05-23

Version of Record valid from 2019-05-23
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Article History

Received: 2 February 2019

First Online: 23 May 2019

Document is current