A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

DOI10.1111/j.1467-9965.2006.00286.xzbMath1130.91027OpenAlexW1839273132MaRDI QIDQ3423398

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)

Related Items (14)

Multinomial method for option pricing under Variance Gamma ⋮ Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing ⋮ Dynamic conic hedging for competitiveness ⋮ Finite approximation schemes for Lévy processes, and their application to optimal stopping problems ⋮ Valuation of American options under the CGMY model ⋮ Numerical methods for Lévy processes ⋮ Predicting the time at which a Lévy process attains its ultimate supremum ⋮ A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes ⋮ GARCH modelling in continuous time for irregularly spaced time series data ⋮ A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model ⋮ Stochastic approximation methods for American type options ⋮ Approximation for the Normal Inverse Gaussian Process Using Random Sums ⋮ Error estimates for multinomial approximations of American options in a class of jump diffusion models ⋮ A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• Functional limit theorems for dependent variables
• Error estimates for the binomial approximation of American put options
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• Risk-neutral valuation. Pricing and hedging of financial derivatives.
• An approximation of American option prices in a jump-diffusion model
• Integro-differential equations for option prices in exponential Lévy models
• Approximations of small jumps of Lévy processes with a view towards simulation
• Wavelet Galerkin pricing of American options on Lévy driven assets
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Option pricing: A simplified approach

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