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

DOI10.1016/0378-4754(93)E0078-JzbMATH Open0828.60040MaRDI QIDQ1897669FDOQ1897669

Authors: Xiaolan Zhang 

Publication date: 22 October 1995

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• Variational inequalities and the pricing of American options
• Title not available (Why is that?)
• The pricing of the American option
• Title not available (Why is that?)
• Residual risks and hedging strategies in Markovian markets

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.
• Title not available (Why is that?)
• Analytical valuation of American options on jump-diffusion processes.

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