An approximation of American option prices in a jump-diffusion model

DOI10.1016/0304-4149(95)00085-2zbMath0848.90005OpenAlexW2073071741MaRDI QIDQ1915843

Sabrina Mulinacci

Publication date: 5 August 1996

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00085-2

zbMATH Keywords

American optionSnell envelopejump-diffusion market model

Mathematics Subject Classification ID

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Convergence of Jump-Diffusion Modelsto the Black–Scholes Model ⋮ A penalty method for American options with jump diffusion processes ⋮ Estimation of parameters for diffusion processes with jumps from discrete observations ⋮ Quanto option pricing with a jump diffusion process ⋮ An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options ⋮ Parametric estimation for discretely observed stochastic processes with jumps ⋮ Numerical solution of two asset jump diffusion models for option valuation ⋮ Exchange option pricing in jump-diffusion models based on esscher transform ⋮ Numerical methods for Lévy processes ⋮ Pricing American options when asset prices jump ⋮ A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS ⋮ Stability for multidimensional jump-diffusion processes

Cites Work

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• Variational inequalities and the pricing of American options
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Option Pricing For Jump Diffusions: Approximations and Their Interpretation