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22-007/IV - Solving penalised American options for jump diffusions using the POST algorithm

  • Authors
    Jean-Claude Hessing, Erasmus School of Economics; Rutger-Jan Lange, Erasmus School of Economics; Daniel Ralphj, Cambridge Judge Business School
  • Publication date
    January 28, 2022
  • Keywords
    Optimal stopping, Penalty method, HJB equation, Contraction, Fixed Point, Operator Splitting, Implicit Explicit, Linear Complementarity Problem
  • JEL
    C61, G13, C44