Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market

DOI10.1155/2014/236091zbMath1406.91449OpenAlexW2092719108WikidataQ59036497 ScholiaQ59036497MaRDI QIDQ1722394

Shuang Li, Xinfeng Ruan, Yan-Li Zhou, Benchawan Wiwatanapataphee

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/236091

zbMATH Keywords

jump diffusion processminimal martingale measureAmerican put option pricing

Mathematics Subject Classification ID

Related Items (1)

Optimal investment-consumption and life insurance with capital constraints

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Efficient numerical methods for pricing American options under stochastic volatility
• Option pricing when underlying stock returns are discontinuous
• Utility maximization in incomplete markets with random endowment

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