Quasi-explicit formulas for American options in a jump-diffusion model (Q1897669)
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scientific article; zbMATH DE number 792987
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| English | Quasi-explicit formulas for American options in a jump-diffusion model |
scientific article; zbMATH DE number 792987 |
Statements
Quasi-explicit formulas for American options in a jump-diffusion model (English)
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22 October 1995
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American option prices
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Merton's jump-diffusion model
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0.93170637
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0.9302738
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0.9195703
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0.9158328
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