Numerical analysis of American option pricing in a jump-diffusion model

Option Pricing Under a Double Exponential Jump Diffusion Model

Management Science

Pricing American-Style Derivatives with European Call Options

Management Science

Numerical solution of two asset jump diffusion models for option valuation

Applied Numerical Mathematics

Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management

Journal of Computational and Applied Mathematics

Extrapolation discontinuous Galerkin method for ultraparabolic equations

Journal of Computational and Applied Mathematics

Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries

SIAM Journal on Financial Mathematics

Pricing American options when asset prices jump

Operations Research Letters

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

Computational Economics