Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps

In this paper we propose a semi-analytic approach to pricing American options for time-dependent jump-diffusions models with exponential jumps The idea of the method is to further generalize our approach developed for pricing barrier, [Itkin et al., 2021], and American, [Carr and Itkin, 2021; Itkin and Muravey, 2023], options in various time-dependent one factor and even stochastic volatility models. Our approach i) allows arbitrary dependencies of the model parameters on time; ii) reduces solut...