A Fourier Transform Analysis of the American Call Option on Assets Driven by Jump-Diffusion Processes

2006 ◽  
Author(s):  
Carl Chiarella ◽  
Andrew Ziogas
Keyword(s):  
Fourier Transform ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Call Option ◽  
Jump Diffusion Processes

Implicit–explicit numerical schemes for jump–diffusion processes

CALCOLO ◽  
2007 ◽  
Vol 44 (1) ◽  
pp. 33-57 ◽  
Author(s):  
Maya Briani ◽  
Roberto Natalini ◽  
Giovanni Russo
Keyword(s):  
Diffusion Processes ◽  
Jump Diffusion ◽  
Numerical Schemes ◽  
Jump Diffusion Processes
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