Thanks for the alternative, I will look it up.I am sure about the reference, it is cited inLeif Andersen and Jesper Andreasen, "Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing" in Review of Derivatives Research, 4, 231 (2000).

Does anyone know where I can find the reference "Andreasen, Jesper, and Grünewald, Barbara: American Option Pricing in the Jump-Diffusion Model, Working Paper (1996), Aarhus University and University of Mainz"?Thanks!

hi Alan,Thank you very much for the comprehensive reply and for the chapter reference (we're having a look right now)!Regards,J

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