Finite Difference Method For American Option Under Jump-diffusion Model

TIn this paper, we mainly study the Finite difference method for American option under jump-diffusion model. We verify the advantages of the proposed meth-ods by comparing with the classical method. For the known PDE, first, we transform the problem into a regular form by using Front-fixing method, then we use PML method to unbound region and manage infinite integral by pieces. At last, we numer-ical discretize the PDE, and give the numerical exercise.