American-style options in jump-diffusion models: estimation and evaluation
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Publication:4554221
DOI10.1080/14697688.2016.1142670zbMATH Open1400.91578OpenAlexW2333378577MaRDI QIDQ4554221FDOQ4554221
Authors: Hatem Ben-Ameur, Rim Chérif, Bruno Rémillard 
Publication date: 13 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1142670
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maximum likelihooddynamic programmingcalibrationfinite elementsAmerican optionsjump-diffusion process
Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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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
- Title not available (Why is that?)
- Title not available (Why is that?)
- 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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