Cheang, Gerald H. L.; Chiarella, Carl; Meyer, Gunter; … - Society for Computational Economics - SCE; Finance, … - 2006
assets follow the jump-diffusion process of Merton (1976). We extend the integral equation representation for the American … a two-dimensional generalisation of the method of lines for jump-diffusion, extending on the algorithm of Meyer (1998 … methods of Kallast and Kivinukk (2003) and Chiarella and Ziogas (2004) to the two-dimensional jump-diffusion setting. The …