Error analysis of asymptotic option prices in a jump-diffusion model

DOI10.1504/IJMMNO.2014.063266zbMath1312.91085OpenAlexW2088838352MaRDI QIDQ2263747

Lamia Benothman, Faouzi Trabelsi

Publication date: 19 March 2015

Published in: International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmmno.2014.063266

zbMATH Keywords

asymptotic analysisbinomial distributionAmerican callMerton's modelEuropean callconvergence errorjump-diffusion market modelTaylor's formulas

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

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