Bounds for the range of American contingent claim prices in the jump-diffusion model (Q4677398)
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scientific article; zbMATH DE number 2169995
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bounds for the range of American contingent claim prices in the jump-diffusion model |
scientific article; zbMATH DE number 2169995 |
Statements
Bounds for the range of American contingent claim prices in the jump-diffusion model (English)
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20 May 2005
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American option valuation
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jump-diffusion market model
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equivalent martingale measures
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optimal stopping time problem
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