THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
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Publication:3637887
DOI10.1142/S0219024909005270zbMath1178.91193MaRDI QIDQ3637887
Boda Kang, Gunter H. Meyer, Andrew Ziogas, Carl Chiarella
Publication date: 14 July 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024909005270
free boundary problem; stochastic volatility; method of lines; American options; Volterra integral equations; jump-diffusion processes
91G60: Numerical methods (including Monte Carlo methods)
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
65M20: Method of lines for initial value and initial-boundary value problems involving PDEs
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