The compound option approach to American options on jump-diffusions (Q953702): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1016/j.jedc.2003.06.002 / rank | |||
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| Property / OpenAlex ID: W2042758485 / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank | |||
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| Property / cites work: Q4905685 / rank | |||
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| Property / cites work: Option pricing when underlying stock returns are discontinuous / rank | |||
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Revision as of 18:52, 28 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The compound option approach to American options on jump-diffusions |
scientific article |
Statements
The compound option approach to American options on jump-diffusions (English)
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6 November 2008
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compound options
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American options
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extendible options
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discrete dividends
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jump-diffusions
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