Quasi-explicit formulas for American options in a jump-diffusion model

DOI10.1016/0378-4754(93)E0078-JMaRDI QIDQ1897669zbMATH OpenFDO

Authors Xiaolan Zhang

Publication date 22 October 1995

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Merton's jump-diffusion modelAmerican option prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• scientific article; zbMATH DE number 3773426 (Why is no real title available?)
• scientific article; zbMATH DE number 3638617 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Option pricing when underlying stock returns are discontinuous
• Residual risks and hedging strategies in Markovian markets
• The pricing of options and corporate liabilities
• The pricing of the American option
• Variational inequalities and the pricing of American options

Cited in

(5)

• An approximation of American option prices in a jump-diffusion model
• American and European options in multi-factor jump-diffusion models, near expiry
• On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
• scientific article; zbMATH DE number 559089 (Why is no real title available?)
• Analytical valuation of American options on jump-diffusion processes.

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