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Early exercise premium method for pricing American options under the J-model

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Figure

Table 2 Algorithm to determine the OEB for the BS-am, the J-am or the Heston-am model
Fig. 4 Difference between J-am (λ = 0) and BS-am models, in terms of EEB. Parameters values: K = 100,τ =0.5, σ = 10%, r = 5%, Q = 5%, θ = 0.769 and N = 50
Fig. 6 Comparison between BS-am and J-am (λ = 0) models, in terms of American early exercise put price.Parameters values: K = 100, τ =0.5, σ = 10%, r = 5%, Q = 5%, θ = 0.769 and N = 50
Fig. 8 Comparison: ΔJ ‐ eur, ΔJ ‐ am and ΔJ ‐ ε (λ = −1.6 and θ = 0). Parameters values: K = 100, τ =0.5, σ = 10%,r = 5%, Q = 5%
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