American Call Options under Jump-Diffusion Processes

In this chapter we shall drop the stochastic volatility component from the dynamics by assuming that the variance is constant and merely discuss how to handle the jump term in the transform approach. Option pricing under jump-diffusion dynamics was originally investigated by Merton (1976) for the case of the European option, but here we also consider American options.

MoreLess

Authors:	Chiarella, Carl ; Kang, Boda ; Meyer, Gunter H.
Published in:	The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches.
Subject:	American Option \| Early Exercise \| Method of Lines \| Finite Difference Approach \| Integral Transform Approach \| Numerical Methods

Online Resource

Check full text access |

More access options

www.worldscientific.com

Check Google Scholar

I need help

More details

Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G00 - Financial Economics. General ; D53 - Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011206593