Open AccessA numerical scheme for pricing American options with transaction costs under a jump diffusion process
Author(s) -
Donny Citra Lesmana,
Song Wang
Publication year - 2017
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2017019
Subject(s) - discretization , mathematics , nonlinear system , partial differential equation , monotone polygon , mathematical optimization , numerical analysis , computer science , mathematical analysis , physics , geometry , quantum mechanics