We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion...

In this note we provide an alternative proof that the Heston asset price process converges to the Normal Inverse Gaussian (NIG) distribution in the large-time limit in a certain sense. Our proof, which is based on the convergence of conditional time-integrated variance to the Inverse Gaussian...

In this work we use the Parsimonious Multi–Asset Heston model recently developed in [Dimitroff et al., 2009] at Fraunhofer ITWM, Department Financial Mathematics, Kaiserslautern (Germany) and apply it to Quanto options. We give a summary of the model and its calibration scheme. A suitable...