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An approximation of American option prices in a jump-diffusion model

  • Mulinacci, Sabrina
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    In 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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    File URL: http://www.sciencedirect.com/science/article/B6V1B-3VS3FRG-1/2/892140e83112ea8ba2ca621facb7c684
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    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 62 (1996)
    Issue (Month): 1 (March)
    Pages: 1-17

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    Handle: RePEc:eee:spapps:v:62:y:1996:i:1:p:1-17
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    1. 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.
    2. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    3. 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.
    4. 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.
    5. Runggaldier, Wolfgang J. & Martin Schweizer, 1995. "Convergence of Option Values under Incompleteness," Discussion Paper Serie B 333, University of Bonn, Germany.
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