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

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

Sabrina Mulinacci1996

OA

Articlebronze1996

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

Sabrina Mulinacci

29 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

1987Efficient Analytic Approximation of American Option Values 1979The valuation of compound options 1977The Valuation of Corporate Liabilities as Compound Options 1990Hedging of contingent claims under incomplete information 2014Stochastic Integration and Differential Equations : A New Approach 1977THE VALUATION OF AMERICAN PUT OPTIONS 1990Variational inequalities and the pricing of American options 1985Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques

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2017An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options

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1997Numerical Analysis of American Option Pricing in a Jump-Diffusion Modelarticle · 5 shared references 1997Recent Advances in Numerical Methods for Pricing Derivative Securitieschapter · 4 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 3 shared references 1991A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investmentsarticle · 3 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 3 shared references 1986Valuation of American Futures Options: Theory and Empirical Testsarticle · 3 shared references

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Year1996

Typearticle

Published1996-03-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-4149(95)00085-2

openalex_workW2073071741

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