A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

DOI10.1111/j.1467-9965.2006.00286.xzbMath1130.91027MaRDI QIDQ3423398

Ross A. Maller, Alex Szimayer, David A. Solomon

Publication date: 22 February 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00286.x

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

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

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Cites Work

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