Error analysis of asymptotic option prices in a jump-diffusion model (Q2263747)
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| Language | Label | Description | Also known as |
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| English | Error analysis of asymptotic option prices in a jump-diffusion model |
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Error analysis of asymptotic option prices in a jump-diffusion model (English)
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19 March 2015
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Summary: This paper is concerned with an approximation of the jump-size distribution in a jump-diffusion model in the context of European and US option pricing in mathematical finance. With a binomial-like jump-size distribution with an arbitrarily chosen support, we show that the approximation error (relative to Gaussian jump-size distribution) tends to zero as the number of atoms increases.
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jump-diffusion market model
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Merton's model
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binomial distribution
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asymptotic analysis
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European call
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American call
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convergence error
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Taylor's formulas
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