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Integro-differential equations [PDF]

open access: yesBulletin of the American Mathematical Society, 1925
openaire   +2 more sources

On an integro-differential equation [PDF]

open access: yesAnnales Polonici Mathematici, 1964
openaire   +1 more source

American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach [PDF]

open access: yes
This paper considers the Fourier transform approach to derive the implicit integral equation for the price of an American call option in the case where the underlying asset follows a jump-diffusion process.
Andrew Ziogas, Carl Chiarella
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