Optimal exercise boundary via intermediate function with jump risk
DOI10.1007/s13160-017-0261-0zbMath1411.91623OpenAlexW2733684988MaRDI QIDQ1684772
Beom Jin Kim, Yong-Ki Ma, Hi Jun Choe
Publication date: 12 December 2017
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-017-0261-0
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A Jump-Diffusion Model for Option Pricing
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- Pricing American put option on zero-coupon bond in a jump-extended CIR model
- Pricing American options when asset prices jump
- A penalty method for American options with jump diffusion processes
- Direct computation for American put option and free boundary using finite difference method
- Analytical Valuation of American Options on Jump‐Diffusion Processes
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- Accurate Evaluation of European and American Options Under the CGMY Process
- Option pricing when underlying stock returns are discontinuous
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
This page was built for publication: Optimal exercise boundary via intermediate function with jump risk