An approximation of American option prices in a jump-diffusion model
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Cites work
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- scientific article; zbMATH DE number 3638617 (Why is no real title available?)
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- Optimal portfolio for a small investor in a market model with discontinuous prices
- Option Pricing For Jump Diffusions: Approximations and Their Interpretation
- Variational inequalities and the pricing of American options
Cited in
(20)- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Exchange option pricing in jump-diffusion models based on Esscher transform
- Quanto option pricing with a jump diffusion process
- Stability for multidimensional jump-diffusion processes
- Numerical solution of two asset jump diffusion models for option valuation
- Parametric estimation for discretely observed stochastic processes with jumps
- Quasi-explicit formulas for American options in a jump-diffusion model
- American and European options in multi-factor jump-diffusion models, near expiry
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- An iterative method for pricing American options under jump-diffusion models
- Pricing American options when asset prices jump
- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
- Numerical methods for Lévy processes
- A penalty method for American options with jump diffusion processes
- scientific article; zbMATH DE number 559089 (Why is no real title available?)
- Pricing multi-asset American option under Heston-CIR diffusion model with jumps
- Convergence of Jump-Diffusion Modelsto the Black–Scholes Model
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