An approximation of American option prices in a jump-diffusion model (Q1915843)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An approximation of American option prices in a jump-diffusion model |
scientific article; zbMATH DE number 894805
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation of American option prices in a jump-diffusion model |
scientific article; zbMATH DE number 894805 |
Statements
An approximation of American option prices in a jump-diffusion model (English)
0 references
5 August 1996
0 references
Snell envelope
0 references
American option
0 references
jump-diffusion market model
0 references
0.9590447
0 references
0.94089156
0 references
0 references
0.9370354
0 references
0.9330294
0 references
0.9302738
0 references
0.92934287
0 references
