Asymptotic analysis of European and American options with jumps in the underlying

DOI10.1504/IJMOR.2012.048931zbMath1390.91293OpenAlexW1983690296MaRDI QIDQ1753762

Lamia Benothman, Faouzi Trabelsi

Publication date: 29 May 2018

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmor.2012.048931

zbMATH Keywords

asymptotic analysisBlack-Scholes modelvolatilitypartial integro-differential equationscharacteristics methodEuropean call optionsAmerican call optionscall pricesjump diffusion modellingLévy market modelperpetual call options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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