@inproceedings{01a0e903150d4235ab746825797bd920,

title = "Pricing American options in a jump diffusion model",

abstract = "In this study, we use the McKean's integral equation to evaluate the American option price for the constant jump diffusion models. The early exercise boundary is approximated by a multipiece exponential function. Approximate closed-form solution of the no arbitrage American option prices are obtained . Simulation studies are performed to evaluate accuracy of the derived formula. The results show that the proposed method improves the pricing of American option for larger dividend rates.",

keywords = "American options, early exercise boundary, early exercise premium, jump diffusion model, McKean's equation",

author = "Meihui Guo and Chang, {Yu Chun} and Huang, {Shih Feng}",

year = "2011",

doi = "10.1109/CSE.2011.48",

language = "???core.languages.en_GB???",

isbn = "9780769544779",

series = "Proc. - 14th IEEE Int. Conf. on Computational Science and Engineering, CSE 2011 and 11th Int. Symp. on Pervasive Systems, Algorithms, and Networks, I-SPA 2011 and 10th IEEE Int. Conf. on IUCC 2011",

pages = "221--228",

booktitle = "Proc. - 14th IEEE Int. Conf. on Computational Science and Engineering, CSE 2011 and 11th Int. Symp.on Pervasive Systems, Algorithms, and Networks, I-SPAN 2011 and 10th IEEE Int. Conf. IUCC 2011",

note = "14th IEEE Int. Conf. on Computational Science and Engineering, CSE 2011, the 11th International Symposium on Pervasive Systems, Algorithms, and Networks, I-SPAN 2011, and the 10th IEEE Int. Conf. on Ubiquitous Computing and Communications, IUCC 2011 ; Conference date: 24-08-2011 Through 26-08-2011",

}