An approximation of American option prices in a jump-diffusion model
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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Volume (Year): 62 (1996)
Issue (Month): 1 (March)
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References listed on IDEAS
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- 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.
- 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, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
- 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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