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American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach - MaRDI portal

American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach (Q3395729)

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American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
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    title
    American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach (English)
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    author
    Carl Chiarella
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    Andrew Ziogas
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    publication date
    13 September 2009
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    zbMATH DE Number
    5603431
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    zbMATH Keywords
    American options
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    jump-diffusion
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    Volterra integral equation
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    free boundary problem
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    Fourier transform
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    OpenAlex ID
    W2025344295
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    cites work
    Q4888881
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    Q4942767
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