The compound option approach to American options on jump-diffusions

DOI10.1016/J.JEDC.2003.06.002MaRDI QIDQ953702zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Option pricing when underlying stock returns are discontinuous
• The pricing of options and corporate liabilities

Cited in

(23)

• The British put option
• Pricing compound and extendible options under mixed fractional Brownian motion with jumps
• N-Fold compound option pricing with technical risk under fractional jump-diffusion model
• scientific article; zbMATH DE number 559089 (Why is no real title available?)
• Pricing convertible bonds with credit risks and stochastic interest rates
• Pricing extendible options using the fast Fourier transform
• Valuation of \(N\)-stage investments under jump-diffusion processes
• Quasi-explicit formulas for American options in a jump-diffusion model
• Analytical valuation of American options on jump-diffusion processes.
• Numerical analysis for stochastic age-dependent population equations with Poisson jumps
• American-style options in jump-diffusion models: estimation and evaluation
• Pricing extendible options under a jump-fraction process
• Convergence rate of numerical solutions to SFDEs with jumps
• American and European options in multi-factor jump-diffusion models, near expiry
• The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
• An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
• The pricing of compound option under variance gamma process by FFT
• The British asset-or-nothing put option
• 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 HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
• A simple method for generalized sequential compound options pricing
• Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions

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