On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts
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References listed on IDEAS
- Neil Shephard & Ole E. Barndorff-Nielsen, 2000. "Modelling by Levy Processes for Financial Econometrics," Economics Series Working Papers 2000-W03, University of Oxford, Department of Economics.
- Peter Carr & Robert Jarrow & Ravi Myneni, 2008.
"Alternative Characterizations Of American Put Options,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 5, pages 85-103
World Scientific Publishing Co. Pte. Ltd..
- Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106.
- Zhang, Xiaolan, 1995. "Formules quasi-explicites pour les options américaines dans un modèle de diffusion avec sauts," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 151-161.
- Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
- Broadie, Mark & Detemple, Jerome, 1996. "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1211-1250.
- Ju, Nengjiu, 1998. "Pricing an American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 627-646.
- Gerber, Hans U. & Landry, Bruno, 1998. "On the discounted penalty at ruin in a jump-diffusion and the perpetual put option," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 263-276, July.
- S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14.
More about this item
KeywordsAmerican options Perpetual approximation Spectrally negative exponential Lévy process;
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