A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
From MaRDI portal
Publication:3423398
Recommendations
- Weak convergence for approximation of American option prices
- Pricing American currency options in an exponential Lévy model
- On the Pricing of American Options in Exponential Lévy Markets
- Pricing American options by a Fourier transform multinomial tree in a conic market
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
Cites work
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- An approximation of American option prices in a jump-diffusion model
- Approximations of small jumps of Lévy processes with a view towards simulation
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Error estimates for the binomial approximation of American put options
- Functional convergence of Snell envelopes: Applications to American options approximations
- Functional limit theorems for dependent variables
- Integro-differential equations for option prices in exponential Lévy models
- Martingales and stochastic integrals in the theory of continuous trading
- Option pricing: A simplified approach
- Risk-neutral valuation. Pricing and hedging of financial derivatives.
- The pricing of options and corporate liabilities
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(22)- 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
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
- A discrete time approach for modeling two-factor mean-reverting stochastic processes
- Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options 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
- On the Pricing of American Options in Exponential Lévy Markets
- Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
- Stochastic approximation methods for American type options
- Multinomial method for option pricing under variance gamma
- Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models
- scientific article; zbMATH DE number 5346998 (Why is no real title available?)
- Predicting the time at which a Lévy process attains its ultimate supremum
- Valuing Bermudan options when asset returns are Lévy processes
- Approximation for the normal inverse Gaussian process using random sums
- 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
- Pricing American options by a Fourier transform multinomial tree in a conic market
- Valuation of American options under the CGMY model
This page was built for publication: A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3423398)
