Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions

DOI10.1007/s00186-008-0282-1zbMath1178.91189OpenAlexW2055655148MaRDI QIDQ1044217

Erhan Bayraktar, Hao Xing

Publication date: 11 December 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0282-1

zbMATH Keywords

American optionsfinite difference methodsjump diffusionsbarrier optionspricing derivatives

Mathematics Subject Classification ID

Related Items (8)

The Optimal Dividend Problem in the Dual Model ⋮ Radial basis functions with application to finance: American put option under jump diffusion ⋮ Efficient numerical Fourier methods for coupled forward-backward SDEs ⋮ A comparison of iterated optimal stopping and local policy iteration for American options under regime switching ⋮ Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models ⋮ NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS ⋮ An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems ⋮ Hedging error estimate of the american put option problem in jump-diffusion processes

Cites Work

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• A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
• Fourier space time-stepping for option pricing with Lévy models
• Robust numerical methods for contingent claims under jump diffusion processes
• Financial Modelling with Jump Processes
• The Mathematics of Financial Derivatives
• On American Options Under the Variance Gamma Process
• Positive periodic solutions of a class of single-species neutral models with state-dependent delay and feedback control
• Option pricing when underlying stock returns are discontinuous
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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