A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
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Publication:3423398
DOI10.1111/j.1467-9965.2006.00286.xzbMath1130.91027MaRDI QIDQ3423398
Ross A. Maller, Alex Szimayer, David A. Solomon
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
60G51: Processes with independent increments; Lévy processes
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Numerical methods for Lévy processes, GARCH modelling in continuous time for irregularly spaced time series data, Finite approximation schemes for Lévy processes, and their application to optimal stopping problems, Error estimates for multinomial approximations of American options in a class of jump diffusion models, A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model, Approximation for the Normal Inverse Gaussian Process Using Random Sums
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