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

DOI10.1080/13504860802221672zbMath1169.91340OpenAlexW2025344295MaRDI QIDQ3395729

Carl Chiarella, Andrew Ziogas

Publication date: 13 September 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860802221672

zbMATH Keywords

Fourier transformfree boundary problemVolterra integral equationAmerican optionsjump-diffusion

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items

Exchange Options Under Jump-Diffusion Dynamics, LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS, American-style options in jump-diffusion models: estimation and evaluation, Valuation of American options under the CGMY model, Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options, AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION, Option pricing under risk-minimization criterion in an incomplete market with the finite difference method, Minimum return guarantees with fund switching rights -- an optimal stopping problem, Pricing American-style Parisian down-and-out call options, On the valuation of fader and discrete barrier options in Heston's stochastic volatility model, Evaluation of American strangles, The representation of American options prices under stochastic volatility and jump-diffusion dynamics, The homotopy perturbation method for the Black–Scholes equation, CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS, American option pricing under the double Heston model based on asymptotic expansion, The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope

Cites Work

• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• On the pricing of American options
• Evaluation of American strangles
• The pricing of the American option
• Laplace transforms and the American straddle
• A penalty method for American options with jump diffusion processes
• Pricing double barrier options using Laplace transforms
• Analytical Valuation of American Options on Jump‐Diffusion Processes
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• Application of the Fast Gauss Transform to Option Pricing
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• Optimal Stopping and the American Put
• Optimal exercise boundary for an American put option
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Option pricing when underlying stock returns are discontinuous
• ON THE AMERICAN OPTION PROBLEM
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics