An approximation of American option prices in a jump-diffusion model (Q1915843): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation of American option prices in a jump-diffusion model |
scientific article |
Statements
An approximation of American option prices in a jump-diffusion model (English)
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5 August 1996
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Snell envelope
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American option
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jump-diffusion market model
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