The numerical solution of the American option pricing problem : finite difference and transform approaches

Publication Data

• Title The numerical solution of the American option pricing problem : finite difference and transform approaches
• Author Carl Chiarella
• Contributors Boda Kang, Gunter H. Meyer
• Publisher World Scientific
• Publication date 2015
• Publication location New Jersey
• Language English

Contents

Introduction
The Merton and Heston model for a call
American call options under jump-diffusion processes
American option prices under stochastic volatility and jump-diffusion dynamics-the transform approach
Representation and numerical approximation of American option prices under Heston Fourier Cosine expansion approach
A numerical approach to pricing American call options under SVJD
Conclusions
Bibliography
Index.

Topics

• Options (Finance) :: United States
• 016914038

The numerical solution of the American option pricing problem : finite difference and transform approaches by Carl Chiarella. ISBN 9789814452618. Published by World Scientific in 2015. Publication and catalogue information, links to buy online and reader comments.