Approximate pricing of discrete maximum valued options

MaRDI QIDQ5153399zbMATHFDO

Authors Jianqi Yang

Publication date 29 September 2021

zbMATH Keywords

jump-diffusion modelapproximate pricingdiscrete maximum option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

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Cited in

(3)

• Applying the maximum net present value rule in valuing real options
• A direct solution method for pricing options involving the maximum process
• The pricing of cumulate growing degree day options with compounding items

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