Pricing American continuous-installment put option in a jump-diffusion model

This paper presents the integral equation for the price of an American continuous-installment put option in the case where the stock price follows a double exponential jump-diffusion model using the Fourier inversion transform approach. We use trapezoidal rule to discrete the integral term and extend the Newton-Raphson method to solve the non-linear equation system for the optimal stopping and exercise boundaries. Some numerical results are provided to analyze the option price and free boundaries changing with some different parameter values in this model.