Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, … - Finance Discipline Group, Business School - 2008
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Keywords: American options, stochastic volatility, jump-diffusion processes, Volterra
integral equations, free boundary problem …-dimensional integro-differential equations (IDEs), whose solution is more readily
AMERICAN OPTIONS - STOCHASTIC VOLATILITY AND JUMP … transform to
the system (23)-(24) provided that both equations are treated as ODEs. This is made
possible by approximating Inm …