American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach
Year of publication: |
2009
|
---|---|
Authors: | Chiarella, Carl ; Ziogas, Andrew |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 16.2009, 1, p. 37-79
|
Publisher: |
Taylor & Francis Journals |
Subject: | American options | jump-diffusion | Volterra integral equation | free boundary problem | Fourier transform |
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