  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 solution of the pricing problem for American
options to a simpler problem of solving a system of an algebraic nonlinear
equation for the exercise boundary and a linear Fredholm-Volterra equation for
the the option price; iii) the options Greeks solve a similar Fredholm-Volterra
linear equation obtained by just differentiating Eq. (25) by the required
parameter. Once done, the American option price is presented in close form.
