Quasi-explicit formulas for American options in a jump-diffusion model

DOI10.1016/0378-4754(93)E0078-JzbMath0828.60040MaRDI QIDQ1897669

Xiao-Lan Zhang

Publication date: 22 October 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Merton's jump-diffusion modelAmerican option prices

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.

Cites Work

• The Pricing of Options and Corporate Liabilities
• Variational inequalities and the pricing of American options
• The pricing of the American option
• Residual risks and hedging strategies in Markovian markets
• Option pricing when underlying stock returns are discontinuous
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