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

Yann d'Halluin Peter A. Forsyth George Labahn

Published in: SIAM J. Sci. Comput. (2005)

Keyphrases

united states
optimal solution
hong kong
multiscale
relaxation algorithm
data sets
numerical methods
artificial intelligence
computer vision
case study
artificial neural networks
search strategies
payoff functions