American-style options in jump-diffusion models: estimation and evaluation
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Publication:4554221
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Cites work
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 3538599 (Why is no real title available?)
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A dynamic programming procedure for pricing American-style Asian options
- A jump-diffusion model for option pricing
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- Analytical valuation of American options on jump-diffusion processes.
- Calibration and hedging under jump diffusion
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Financial Modelling with Jump Processes
- IMEX schemes for pricing options under jump-diffusion models
- Integro-differential equations for option prices in exponential Lévy models
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- Numerical valuation of options with jumps in the underlying
- Option pricing when underlying stock returns are discontinuous
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- Pricing American options when asset prices jump
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Simulation of jump diffusions and the pricing of options
- Statistical methods for financial engineering
- Tests of independence and randomness based on the empirical copula process
- The compound option approach to American options on jump-diffusions
- The pricing of options and corporate liabilities
- Valuing American options by simulation: a simple least-squares approach
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(16)- Pricing an American binary option in a double exponential jump-diffusion model
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- American Option Valuation with Particle Filters
- An approximation of American option prices in a jump-diffusion model
- The compound option approach to American options on jump-diffusions
- Quasi-explicit formulas for American options in a jump-diffusion model
- The forward-path method for pricing multi-asset American-style options under general diffusion processes
- American and European options in multi-factor jump-diffusion models, near expiry
- Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion
- An iterative method for pricing American options under jump-diffusion models
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- scientific article; zbMATH DE number 1279074 (Why is no real title available?)
- scientific article; zbMATH DE number 559089 (Why is no real title available?)
- An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing
- Pricing multi-asset American option under Heston-CIR diffusion model with jumps
- An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics
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