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

zbMATH Open1399.91108MaRDI QIDQ3175728FDOQ3175728

Guohe Deng

Publication date: 18 July 2018

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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)

Cited In (1)

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

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