The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches

Carl Chiarella, Boda Kang and Gunter H Meyer
Additional contact information
Boda Kang: University of York, UK
Gunter H Meyer: Georgia Institute of Technology, USA

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: The Numerical Solution of the American Option Pricing Problem

Keywords: American Option; Early Exercise; Method of Lines; Finite Difference Approach; Integral Transform Approach; Numerical Methods (search for similar items in EconPapers)
Date: 2014
ISBN: 9789814452618
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Citations: View citations in EconPapers (3)

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https://www.worldscientific.com/worldscibooks/10.1142/8736 (text/html)
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Chapters in this book:

Ch 1 Introduction , pp 1-2

Carl Chiarella, Boda Kang and Gunter H. Meyer

Ch 2 The Merton and Heston Model for a Call , pp 3-9

Carl Chiarella, Boda Kang and Gunter H. Meyer

Ch 3 American Call Options under Jump-Diffusion Processes , pp 11-47

Carl Chiarella, Boda Kang and Gunter H. Meyer

Ch 4 American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach , pp 49-91

Carl Chiarella, Boda Kang and Gunter H. Meyer

Ch 5 Representation and Numerical Approximation of American Option Prices under Heston , pp 93-139

Carl Chiarella, Boda Kang and Gunter H. Meyer

Ch 6 Fourier Cosine Expansion Approach , pp 141-168

Carl Chiarella, Boda Kang and Gunter H. Meyer

Ch 7 A Numerical Approach to Pricing American Call Options under SVJD , pp 169-198

Carl Chiarella, Boda Kang and Gunter H. Meyer

Ch 8 Conclusion , pp 199-200

Carl Chiarella, Boda Kang and Gunter H. Meyer

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