American options in Lévy models with stochastic interest rates

DOI10.21314/JCF.2009.204zbMath1201.91192OpenAlexW3122939768MaRDI QIDQ3404357

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 8 February 2010

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2009.204

zbMATH Keywords

American optionsWiener-Hopf factorizationjump-diffusion modelLévy modelsinterest Ralás

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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