scientific article; zbMATH DE number 559089

MaRDI QIDQ4289128zbMATH OpenFDO

Authors Xiaolan Zhang

Publication date 1993

zbMATH Keywords

American optionfinite difference discretization schemesjump-diffusion modelpricingstrong convergence

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(31)

• Probabilistic solution of the American options
• Quasi-explicit formulas for American options in a jump-diffusion model
• An integro-differential parabolic variational inequality connected with the problem of the American option pricing
• An approximation of American option prices in a jump-diffusion model
• American and European options in multi-factor jump-diffusion models, near expiry
• The critical price for the American put in an exponential Lévy model
• Domain decomposition method for a parabolic variational inequality
• Analytical valuation of American options on jump-diffusion processes.
• Robustness of option prices and their deltas in markets modelled by jump-diffusions
• Error estimates for multinomial approximations of American options in a class of jump diffusion models
• Pricing an American binary option in a double exponential jump-diffusion model
• Pricing American-style derivatives with European call options
• Wavelet Galerkin pricing of American options on Lévy driven assets
• Free boundary and American options in a jump-diffusion model
• The range of American contingent claims prices in the jump-diffusion model
• Discrete-time bond and option pricing for jump-diffusion processes
• Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow
• scientific article; zbMATH DE number 1069622 (Why is no real title available?)
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• American-style options in jump-diffusion models: estimation and evaluation
• Option pricing in affine generalized Merton models
• Pricing of American options and American barrier options with jump stochastic volatility model
• American options in the Volterra Heston model
• A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
• APPROXIMATIONS OF OPTION PRICES FOR A JUMP-DIFFUSION MODEL
• American options: the EPV pricing model
• Variational inequalities and the pricing of American options
• A semilinear equation for the American option in a general jump market
• Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
• The compound option approach to American options on jump-diffusions
• Pricing American options when asset prices jump

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