A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

DOI10.1111/J.1467-9965.2006.00286.XzbMATH Open1130.91027OpenAlexW1839273132MaRDI QIDQ3423398FDOQ3423398

David A. Solomon, Alex Szimayer, Ross A. Maller

Publication date: 22 February 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00286.x

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Error estimates for the binomial approximation of American put options
• Risk-neutral valuation. Pricing and hedging of financial derivatives.
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Cited In (17)

• A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
• Error estimates for multinomial approximations of American options in a class of jump diffusion models
• Approximation for the Normal Inverse Gaussian Process Using Random Sums
• Multinomial method for option pricing under Variance Gamma
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
• GARCH modelling in continuous time for irregularly spaced time series data
• Dynamic conic hedging for competitiveness
• Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
• Stochastic approximation methods for American type options
• Title not available (Why is that?)
• A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes
• Predicting the time at which a Lévy process attains its ultimate supremum
• A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing
• Numerical methods for Lévy processes
• The valuation of American options in a multidimensional exponential Lévy model
• Valuation of American options under the CGMY model

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