A numerical scheme for pricing american options with transaction costs under a jump diffusion process

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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...

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Bibliographic Details
Main Authors:	Lesmana, D., Wang, Song
Format:	Journal Article
Published:	American Institute of Mathematical Sciences 2017
Online Access:	http://hdl.handle.net/20.500.11937/58032

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