Valuation on American put option in an affine diffusion model with double jumps

MaRDI QIDQ3175728zbMATH OpenFDO

Authors Guohe Deng

Publication date 18 July 2018

zbMATH Keywords

Monte Carlo simulationAmerican optionaffine jump-diffusion modelBermudan option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(1)

• Double continuation regions for American and Swing options with negative discount rate in Lévy models

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