A mathematical modeling for the lookback option with jump-diffusion using binomial tree method

DOI10.1016/j.cam.2011.05.002zbMath1220.91042MaRDI QIDQ633968

Hyun Suk Park, Xiao-Song Qian, Kwang Ik Kim

Publication date: 2 August 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.05.002

zbMATH Keywords

viscosity solution; jump-diffusion model; lookback option; binomial tree method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

45K05: Integro-partial differential equations

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

35R35: Free boundary problems for PDEs

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