McKean's Methods Applied to American Call Options on Jump-Diffusion Processes
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- Andrew Ziogas & Carl Chiarella, 2003. "McKean’s Method applied to American Call Options on Jump-Diffusion Processes," Computing in Economics and Finance 2003 39, Society for Computational Economics.
References listed on IDEAS
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Cited by:
- Min Dai & Yue Kuen Kwok, 2006. "Characterization Of Optimal Stopping Regions Of American Asian And Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 63-82, January.
- Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2021. "A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2025-2054, December.
- Chiarella, Carl & Ziogas, Andrew, 2005.
"Evaluation of American strangles,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 31-62, January.
- Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Research Paper Series 83, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Computing in Economics and Finance 2002 28, Society for Computational Economics.
- Andrew Ziogas & Carl Chiarella, 2004.
"Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions,"
Computing in Economics and Finance 2004
177, Society for Computational Economics.
- Carl Chiarella & Andrew Ziogas, 2005. "Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions," Research Paper Series 145, Quantitative Finance Research Centre, University of Technology, Sydney.
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More about this item
Keywords
american options; jump-diffusion; volterra integral equation; free-boundary problem;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2004-06-02 (Computational Economics)
- NEP-FIN-2004-06-02 (Finance)
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