Conclusion

Carl Chiarella, Boda Kang and Gunter H. Meyer

Chapter 8 in The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches, 2014, pp 199-200 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book has explored the pricing of American options. It has focused in particular on American call options but the techniques are generally applicable. We started in Chapter 2 with the case of the underlying asset dynamics following a jump-diffusion and stochastic volatility process…

Keywords: American Option; Early Exercise; Method of Lines; Finite Difference Approach; Integral Transform Approach; Numerical Methods (search for similar items in EconPapers)
Date: 2014
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