An approximation of American option prices in a jump-diffusion model
AbstractIn this paper, an effectively computable approximation of the price of an American option in a jump-diffusion market model will be shown: results of convergence in Lp and a.s. will be proved.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 62 (1996)
Issue (Month): 1 (March)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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- Runggaldier, Wolfgang J. & Martin Schweizer, 1995. "Convergence of Option Values under Incompleteness," Discussion Paper Serie B 333, University of Bonn, Germany.
- Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
- Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-20, June.
- Fabio Mercurio & Wolfgang J. Runggaldier, 1993. "Option Pricing For Jump Diffusions: Approximations and Their Interpretation," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 191-200.
- Geske, Robert & Shastri, Kuldeep, 1985. "Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(01), pages 45-71, March.
- Andrew Ziogas & Carl Chiarella, 2003.
"McKean’s Method applied to American Call Options on Jump-Diffusion Processes,"
Computing in Economics and Finance 2003
39, Society for Computational Economics.
- Carl Chiarella & Andrew Ziogas, 2004. "McKean's Methods Applied to American Call Options on Jump-Diffusion Processes," Research Paper Series 117, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Andrew Ziogas, 2006. "American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach," Research Paper Series 174, Quantitative Finance Research Centre, University of Technology, Sydney.
- Wee, In-Suk, 1999. "Stability for multidimensional jump-diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 80(2), pages 193-209, April.
- N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
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