The compound option approach to American options on jump-diffusions

DOI10.1016/J.JEDC.2003.06.002zbMATH Open1201.91195OpenAlexW2042758485MaRDI QIDQ953702FDOQ953702

C. R. Chandrasekhar Reddy Gukhal

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2003.06.002

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zbMATH Keywords

American optionsjump-diffusionscompound optionsdiscrete dividendsextendible options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• The pricing of options and corporate liabilities
• Martingales and arbitrage in multiperiod securities markets
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous

Cited In (22)

• The British Put Option
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
• Pricing extendible options using the fast Fourier transform
• Valuation of \(N\)-stage investments under jump-diffusion processes
• American-style options in jump-diffusion models: estimation and evaluation
• Numerical analysis for stochastic age-dependent population equations with Poisson jumps
• N-Fold compound option pricing with technical risk under fractional jump-diffusion model
• The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
• THE BRITISH ASSET-OR-NOTHING PUT OPTION
• Quasi-explicit formulas for American options in a jump-diffusion model
• Pricing Convertible Bonds with Credit Risks and Stochastic Interest Rates
• American and European options in multi-factor jump-diffusion models, near expiry
• A simple analytical and numerical approach for pricing compound options
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
• A simple method for generalized sequential compound options pricing
• Pricing compound and extendible options under mixed fractional Brownian motion with jumps
• Title not available (Why is that?)
• Convergence rate of numerical solutions to SFDEs with jumps
• An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
• The pricing of compound option under variance gamma process by FFT
• Analytical valuation of American options on jump-diffusion processes.

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