Pricing American Options on Jump-Diffusion Processes Using Fourier Hermite Series Expansions

2005 ◽  
Author(s):  
Carl Chiarella ◽  
Andrew Ziogas
Keyword(s):  
Diffusion Processes ◽  
American Options ◽  
Jump Diffusion ◽  
Series Expansions ◽  
Jump Diffusion Processes ◽  
Hermite Series

A penalty method for American options with jump diffusion processes

2004 ◽  
Vol 97 (2) ◽  
pp. 321-352 ◽  
Author(s):  
Y. d’Halluin ◽  
P.A. Forsyth ◽  
G. Labahn
Keyword(s):  
Penalty Method ◽  
Diffusion Processes ◽  
American Options ◽  
Jump Diffusion ◽  
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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