Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach

16 references·4 citing·34 second hop

FromToDepth

this work references cited by second hop

References

1976Option pricing when underlying stock returns are discontinuous5,965 cited
1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
1999Option valuation using the fast Fourier transform2,155 cited
2002A Jump-Diffusion Model for Option Pricing1,895 cited
1994Option pricing: Mathematical models and computation805 cited
1984The American Put Option Valued Analytically728 cited
1988On Jump Processes in the Foreign Exchange and Stock Markets625 cited
1990The Analytic Valuation of American Options580 cited
2000Introduction and Summary of Results (Excerpt)516 cited
2000The Term Structure of Implied Volatility516 cited
1991Optimal Stopping and the American Put513 cited
2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
1985On Jumps in Common Stock Prices and Their Impact on Call Option Pricing409 cited
1997Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods389 cited
1988On the pricing of American options382 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1992The Pricing of the American Option348 cited

Cited by

2011The representation of American options prices under stochastic volatility and jump-diffusion dynamics28 cited
2010On the valuation of fader and discrete barrier options in Heston's stochastic volatility model26 cited
2011Computing American option prices in the lognormal jump–diffusion framework with a Markov chain22 cited
2008The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines20 cited