Browsing 14 Economics by Author "Ziogas Andrew"

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Browsing 14 Economics by Author "Ziogas Andrew"

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  • American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach 
    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 ...
  • Evaluation of American strangles 
    Ziogas Andrew; Chiarella Carl (Elsevier Science, 2003)
    This paper presents a generalisation of Mckean's free boundary value problem for American options by considering an American strangle position, where cxereising one side of the payoff early knocks-out the remaining side. ...