Browsing 14 Economics by Author "Ziogas, Andrew"

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Browsing 14 Economics by Author "Ziogas, Andrew"

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  • Chiarella, Carl; Ziogas, Andrew (Routledge, 2009)
    We consider the American option pricing problem in the case where the underlying asset follows a jump-diffusion process. We apply the method of Jamshidian to transform the problem of solving a homogeneous integro-partial ...
  • Chiarella, Carl; Ziogas, Andrew (Elsevier Science Bv, 2005)
    This paper presents a generalisation of McKean's free boundary value problem for American options by considering an American strangle position, where exercising one side of the payoff early knocks-out the remaining side. ...