Numerical analysis on binomial tree methods for a jump-diffusion model.
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Publication:1398421
DOI10.1016/S0377-0427(02)00903-2zbMath1054.91044OpenAlexW2010419547MaRDI QIDQ1398421
Li-Shang Jiang, Xiao-Song Qian, Cheng-long Xu
Publication date: 29 July 2003
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0377-0427(02)00903-2
option pricingequationsBinomial tree methodbinomial tree method explicit differenceExplicit difference methodintegro-partial differential
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Related Items (10)
Computation of Greeks using binomial trees in a jump-diffusion model ⋮ Binomial tree method for option pricing: discrete cosine transform approach ⋮ Convergence rate of free boundary of numerical scheme for American option ⋮ Convergence of the binomial tree method for Asian options in jump-diffusion models ⋮ An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options ⋮ An implicit scheme for American put options ⋮ Valuation of \(N\)-stage investments under jump-diffusion processes ⋮ A mathematical modeling for the lookback option with jump-diffusion using binomial tree method ⋮ On the rate of convergence of the binomial tree scheme for American options ⋮ Analytical binomial lookback options with double-exponential jumps
Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Residual risks and hedging strategies in Markovian markets
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
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