McKean’s Method applied to American Call Options on Jump-Diffusion Processes

Andrew Ziogas and Carl Chiarella

No 39, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: Jump-diffusion model; American option; Free boundary problem (search for similar items in EconPapers)
JEL-codes: C61 D11 (search for similar items in EconPapers)
Date: 2003-08-01
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Working Paper: McKean's Methods Applied to American Call Options on Jump-Diffusion Processes (2004)
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