The representation of American options prices under stochastic volatility and jump-diffusion dynamics

DOI10.1080/14697688.2011.587828zbMath1280.91165OpenAlexW2027353995MaRDI QIDQ5746758

Gerald H. L. Cheang, Andrew Ziogas, Carl Chiarella

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.587828

zbMATH Keywords

stochastic volatilityAmerican optionsfree boundary problemsjump-diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

The implication of missing the optimal-exercise time of an American option ⋮ The evaluation of barrier option prices under stochastic volatility ⋮ The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics ⋮ Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities ⋮ Pricing American-style Parisian down-and-out call options ⋮ CTMC integral equation method for American options under stochastic local volatility models ⋮ An improvement of an analytical approximation method for American options ⋮ American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach

Cites Work

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• ON THE AMERICAN OPTION PROBLEM

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