For decades, financial institutions have been very motivated in creating structured high-yield financial products, especially in the economic environment of lower interest rates. Reverse convertible notes (RCNs) are the type of financial instruments, which in recent years first in Europe and...

In this paper we consider various computational methods for pricing American style derivatives. We do so under both jump diffusion and stochastic volatility processes. We consider integral transform methods, the method of lines, operator-splitting, and the Crank-Nicolson scheme, the latter being...