American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2009.
"The Evaluation Of American Option Prices Under Stochastic Volatility And Jump-Diffusion Dynamics Using The Method Of Lines,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 393-425.
- Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2008. "The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines," Research Paper Series 219, Quantitative Finance Research Centre, University of Technology, Sydney.
- Simonato, Jean-Guy, 2011. "Computing American option prices in the lognormal jump–diffusion framework with a Markov chain," Finance Research Letters, Elsevier, vol. 8(4), pages 220-226.
- Gerald Cheang & Carl Chiarella & Andrew Ziogas, 2009. "An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics," Research Paper Series 256, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
KeywordsAmerican options; jump-diffusion; Volterra integral equation; free boundary problem;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
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