scientific article; zbMATH DE number 1069622

MaRDI QIDQ4356584zbMATH OpenFDO

Authors Xiaolan Zhang

Publication date 8 November 1998

zbMATH Keywords

American optionsjump-diffusion modelnumerical methodsoption pricingstochastic differential equationvaluation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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• Stochastic differential equations with diffusion and jumps modeling currency markets
• A semilinear equation for the American option in a general jump market
• Jump diffusion model with application to the Japanese stock market

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