Pricing American currency options in an exponential Lévy model
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Publication:4676167
DOI10.1080/1350486042000249336zbMath1066.91038OpenAlexW2109969373MaRDI QIDQ4676167
Marc Chesney, Monique Jeanblanc-Picqué
Publication date: 3 May 2005
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486042000249336
Laplace transformincomplete marketsstopping timesovershootperpetual optionsjump diffusion modelexercise boundary
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Exotic options under Lévy models: an overview ⋮ Exchange Options Under Jump-Diffusion Dynamics ⋮ Optimal Stopping Problem Associated with Jump-diffusion Processes ⋮ Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ Mitigating global warming: a real options approach ⋮ Optimal hitting time and perpetual option in a non-Lévy model: application to real options ⋮ Some remarks on first passage of Lévy processes, the American put and pasting principles
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