Numerical analysis of American option pricing in a jump-diffusion model
Mathematics of Operations Research
A Jump-Diffusion Model for Option Pricing
Management Science
A penalty method for American options with jump diffusion processes
Numerische Mathematik
Option Pricing Under a Double Exponential Jump Diffusion Model
Management Science
Valuing American options under the CEV model by Laplace-Carson transforms
Operations Research Letters
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We present a transformation that helps price American options on assets that are modeled by a diffusion as well as a jump component. The presence of a jump component circumvents some shortcomings of the Black-Scholes model. The proposed transformation essentially transforms the arising free-boundary partial integro-differential equation (PIDE) into a sequence of fixed-boundary PIDEs which are much easier to solve. Finally, we provide numerical results illustrating convergence of the scheme and comparisons to other methods.