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...

We consider American versions of multiple asset options when the underlying assets follow jump-diffusion processes, for example exchange options and max-options. We consider various representations of the option value and in particular apply Fourier transform techniques to the integro-partial...