The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines
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- 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.
References listed on IDEAS
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More about this item
Keywords
American options; stochastic volatility; jump-diffusion processes; Volterra integral equations; free boundary problem; method of lines;All these keywords.
JEL classification:
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2008-05-05 (Business Economics)
- NEP-ORE-2008-05-05 (Operations Research)
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