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