IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789814452625_0004.html
   My bibliography  Save this book chapter

American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach

In: The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches

Author

Listed:
  • Carl Chiarella
  • Boda Kang
  • Gunter H. Meyer

Abstract

The following sections are included:IntroductionThe Problem Statement — The Merton-Heston ModelThe Integral Transform SolutionThe Martingale RepresentationConclusionAppendixDeriving the Inhomogeneous PIDEVerifying Duhamel's PrincipleProof of Proposition 4.3 — Fourier Transform of the PIDEProof of Proposition 4.4 — Laplace Transform of the PDE (4.14)Proof of Proposition 4.5 — Solving the PDE (4.17)Proof of Proposition 4.6 — Inverting the Laplace TransformProof of Proposition 4.7 — Inverting the Fourier TransformProof of Proposition 4.8 — Deriving the Price for a European CallDeriving the Early Exercise Premium

Suggested Citation

  • Carl Chiarella & Boda Kang & Gunter H. Meyer, 2014. "American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach," World Scientific Book Chapters, in: The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, chapter 4, pages 49-91, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814452625_0004
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789814452625_0004
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789814452625_0004
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789814452625_0004. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.