This paper presents a numerical method for pricing American call options where the underlying asset price follows a jump-diffusion process. The method is based on the Fourier-Hermite series expansions of Chiarella, El-Hassan and Kucera (1999), which we extend to allow for Poisson jumps, in the...

This paper provides an extension of McKean’s (1965) incomplete Fourier transform method to solve the two-factor partial differential equation for the price and early exercise surface of an American call option, in the case where the volatility of the underlying evolves randomly. The...

This paper examines two numerical methods for pricing of American spread options in the case where both underlying assets follow the jump-diffusion process of Merton (1976). We extend the integral equation representation for the American spread option presented by Broadie and Detemple (1997) to...

In a series of papers, Schelling presented a microeconomic model of neighbourhood segregation that he called a "spatial proximity model". The model specifies a spatial setup in which the individual agents care only about the composition of their own local neighbourhood. Agents belong to two...

A well known problem in economics is to describe properly a situation where N agents are repeatedly competing to use the same limited resource. A version of this problem is known in the literature as the El Farol game: week after week N agents face the decision whether to go or not to go to a...

The Use of a Simple Decision Rule in Repeated Oligopoly Games Much interest has been directed towards decision rules and conditions when firms make decisions converging to a non-cooperative Nash equilibrium in repeated oligopoly games. We explore the use of a simple decision rule where firms...