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 … that accurately reflect the volatility smiles and skews found in market
traded options. There are two classical ways of … Scott (1997), generalised to
allow for stochastic interest rates. Scott explores the pricing of European options under
these …