American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach

By Chiarella Carl   Ziogas Andrew  

Applied Mathematical Finance, Vol. 16, Iss. 1, 2009-01 ,pp. : 37-79

Routledge Ltd

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Perpetual barrier options in jump-diffusion models

By Gapeev Pavel  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 79, Iss. 1-2, 2007-02 ,pp. : 139-154

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A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes

By Liu Jun   Sun Hai-Wei  

International Journal of Computer Mathematics, Vol. 91, Iss. 10, 2014-10 ,pp. : 2163-2184

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Asymptotic analysis of options in a jump-diffusion model with binomial jump size distribution

By Benothman Lamia  

International Journal of Mathematical Modelling and Numerical Optimisation, Vol. 4, Iss. 1, 2013-01 ,pp. : 14-55

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Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps

By Albrecher Hansjörg   Kortschak Dominik   Zhou Xiaowen  

Applied Mathematical Finance, Vol. 19, Iss. 2, 2012-04 ,pp. : 97-129

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