In this paper, we develop an efficient payoff function approximation approach to estimating lower and upper bounds for pricing American arithmetic average options with a large number of underlying assets. The crucial step in the approach is to find a geometric mean which is more tractable than...

This paper studies a class of tractable jump-diffusion models,including stochastic volatility models with self-exciting jumpsfor stock returns and variance processes. We employ the Markovchain Monte Carlo (MCMC) method to implement model estimation, andinvestigate the performance of all models...