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Numerical analysis on binomial tree methods for a jump-diffusion model · Study

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ArticleNumerical analysis on binomial tree methods for a jump-diffusion model

Chenglong Xu2003

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Articlebronze2003

Numerical analysis on binomial tree methods for a jump-diffusion model

Chenglong Xu · Xiaosong Qian · Lishang Jiang

16 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Differential Equations and Numerical Methods

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 1976Option pricing when underlying stock returns are discontinuous 1979Martingales and arbitrage in multiperiod securities markets 1990Hedging of contingent claims under incomplete information 2011Introduction to Stochastic Calculus Applied to Finance 1985Hedging of non-redundant contingent claims 1993Jump Diffusion Option Valuation in Discrete Time

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2010Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries

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2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2001Stochastic processes in insurance and financechapter · 7 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 6 shared references 2002On Valuation and Risk Management at the Interface of Insurance and Financearticle · 6 shared references 2002An Autoregressive Conditional Binomial Option Pricing Modelchapter · 6 shared references 1999The random-time binomial modelarticle · 6 shared references

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Year2003

Typearticle

Published2003-04-30

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0377-0427(02)00903-2

openalex_workW2010419547

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