The numerical solution of the American option pricing problem : finite difference and transform approaches / Carl Chiarella (University of Technology, Sydney, Australia), Boda Kang (University of York, UK), Gunter H Meyer (Georgia Institute of Technology, USA).

Includes bibliographical references and index.

Introduction -- The Merton and Heston model for a call -- American call options under jump-diffusion processes -- American option prices under stochastic volatility and jump-diffusion dynamics-the transform approach -- Representation and numerical approximation of American option prices under Heston Fourier Cosine expansion approach -- A numerical approach to pricing American call options under SVJD -- Conclusions -- Bibliography -- Index.

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