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Valuing American Options with Jump-Diffusion by naveen kumar is a document available to read on EtoBox.
This paper presents a semi-analytical approach to valuing American options in time-dependent jump-diffusion models using integral equations and characteristic functions. It addresses challenges in traditional pricing methods by deriving Volterra integral equations to explicitly determine exercise boundaries, enhancing computational efficiency. The methodology is demonstrated through numerical examples, highlighting its advantages for large-scale industrial applications and resolving existing limitations in
- Author
- naveen kumar
- Language
- EN