Approximate pricing of discrete maximum valued options

zbMATH Open1488.91145MaRDI QIDQ5153399FDOQ5153399

Authors: Jianqi Yang 

Publication date: 29 September 2021

Recommendations

• Option Pricing For Jump Diffusions: Approximations and Their Interpretation
• Pricing European options under jump-diffusion models
• Option pricing in incomplete discrete markets
• scientific article; zbMATH DE number 5026589
• Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics

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)

Cited In (3)

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

This page was built for publication: Approximate pricing of discrete maximum valued options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5153399)