ERROR ESTIMATES FOR OPTION PRICES IN JUMP-DIFFUSION MODELS

DOI10.4134/BKMS.2002.39.4.705MaRDI QIDQ4792616zbMATH OpenFDO

Authors In-Suk Wee

Publication date 25 May 2003

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

Full work available at URL https://doi.org/10.4134/BKMS.2002.39.4.705

zbMATH Keywords

Black-Scholes modeljump-diffusion modeloption price

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Convergence of Jump-Diffusion Modelsto the Black–Scholes Model
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Cited in

(9)

• Assessing the impact of jumps in an option pricing model: a gradient estimation approach
• Error analysis of asymptotic option prices in a jump-diffusion model
• Error estimates for binomial approximations of game put options
• Error analysis of finite difference and Markov chain approximations for option pricing
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
• Convergence of Jump-Diffusion Modelsto the Black–Scholes Model
• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
• A note on convergence of option prices and their Greeks for Lévy models
• APPROXIMATIONS OF OPTION PRICES FOR A JUMP-DIFFUSION MODEL

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