APPROXIMATIONS OF OPTION PRICES FOR A JUMP-DIFFUSION MODEL

DOI10.4134/JKMS.2006.43.2.383MaRDI QIDQ5473083zbMATH OpenOpenAlexFDO

Authors In-Suk Wee

Publication date 19 June 2006

Published in Journal of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4134/jkms.2006.43.2.383

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• Error bounds for small jumps of Lévy processes
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• A note on convergence of option prices and their Greeks for Lévy models
• LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
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• Option pricing in some non-Lévy jump models
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