American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach

DOI10.1080/13504860802221672MaRDI QIDQ3395729zbMATH OpenOpenAlexFDO

Authors Carl Chiarella, Andrew Ziogas

Publication date 13 September 2009

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860802221672

zbMATH Keywords

American optionsFourier transformfree boundary problemjump-diffusionVolterra integral equation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A jump-diffusion model for option pricing
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• A penalty method for American options with jump diffusion processes
• Analytical valuation of American options on jump-diffusion processes.
• Application of the fast Gauss transform to option pricing
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Evaluation of American strangles
• scientific article; zbMATH DE number 918932 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Laplace transforms and the American straddle
• ON THE AMERICAN OPTION PROBLEM
• On the pricing of American options
• Optimal exercise boundary for an American put option
• Optimal Stopping and the American Put
• Option pricing when underlying stock returns are discontinuous
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Pricing double barrier options using Laplace transforms
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
• The pricing of the American option
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics

Cited in

(26)

• Pricing American-style Parisian down-and-out call options
• Analytical valuation of American options on jump-diffusion processes.
• Analysis of the free boundary for the pricing of an American call option
• A closed-form solution to American options under general diffusion processes
• Pricing American options written on two underlying assets
• Exchange Options Under Jump-Diffusion Dynamics
• An improved Markov chain approximation methodology: derivatives pricing and model calibration
• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
• The homotopy perturbation method for the Black–Scholes equation
• Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
• A proof of the smoothness of the finite time horizon American put option for jump diffusions
• American-style options in jump-diffusion models: estimation and evaluation
• Valuation of American options under the CGMY model
• Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
• Laplace bounds approximation for American options
• American option pricing under the double Heston model based on asymptotic expansion
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics
• Minimum return guarantees with fund switching rights -- an optimal stopping problem
• Deep learning of optimal exercise boundaries for American options
• Semi-analytical pricing of options written on SOFR futures
• A semilinear equation for the American option in a general jump market
• The compound option approach to American options on jump-diffusions
• Evaluation of American strangles
• Pricing American options when asset prices jump

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