A numerical scheme for pricing american options with transaction costs under a jump diffusion process
In this paper we develop a numerical method for a nonlinear partial integro-differential complementarity problem arising from pricing American options with transaction costs when the underlying assets follow a jump diffusion process. We first approximate the complementarity problem by a nonlinear pa...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
American Institute of Mathematical Sciences
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/58032 |