Hedging error estimate of the American put option problem in jump-diffusion processes
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Publication:5024445
DOI10.2298/FIL1808813HzbMATH Open1499.91140WikidataQ128009208 ScholiaQ128009208MaRDI QIDQ5024445FDOQ5024445
Authors: S. Hussain, S. Zeb, Muhammad Shoaib Saleem, Nasir Rehman 
Publication date: 31 January 2022
Published in: Filomat (Search for Journal in Brave)
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Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Jump processes on discrete state spaces (60J74)
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Cited In (8)
- Estimate for the discrete time hedging error of the American option on a dividend-paying stock
- Error estimates for binomial approximations of game put options
- Optimal hedging of American options in discrete time
- Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion
- A correction note to ``Discrete time hedging errors for options with irregular payoffs
- Discrete time hedging of the American option
- On the monitoring error of the supremum of a normal jump diffusion process
- Asymptotic analysis of hedging errors in models with jumps
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