Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, … - Finance Discipline Group, Business School - 2008
, delta, gamma and free boundary is analysed. If one seeks an algorithm that gives not only the price but also the delta and … boundary is analysed. If one seeks an algorithm that gives not only the price
but also the delta and gamma to the same level of ….
Keywords: American options, stochastic volatility, jump-diffusion processes, Volterra
integral equations, free boundary problem …