The representation of American options prices under stochastic volatility and jump-diffusion dynamics

DOI10.1080/14697688.2011.587828zbMath1280.91165MaRDI QIDQ5746758

Gerald H. L. Cheang, Andrew Ziogas, Carl Chiarella

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.587828

zbMATH Keywords

stochastic volatility; American options; free boundary problems; jump-diffusion processes

Mathematics Subject Classification ID

60J60: Diffusion processes

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities, Representation of exchange option prices under stochastic volatility jump-diffusion dynamics, The implication of missing the optimal-exercise time of an American option, The evaluation of barrier option prices under stochastic volatility, The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach, Pricing American-style Parisian down-and-out call options, CTMC integral equation method for American options under stochastic local volatility models, An improvement of an analytical approximation method for American options, American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach

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