A Finite Difference Scheme for Pricing American Put Options under Kou's Jump-Diffusion Model
We present a stable finite difference scheme on a piecewise uniform mesh along with a penalty method for pricing American put options under Kou's jump-diffusion model. By adding a penalty term, the partial integrodifferential complementarity problem arising from pricing American put options und...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
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| Series: | Journal of Function Spaces and Applications |
| Online Access: | http://dx.doi.org/10.1155/2013/651573 |
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