American and European options in multi-factor jump-diffusion models, near expiry
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Publication:2271720
DOI10.1007/s00780-008-0070-zzbMath1199.91214OpenAlexW2543413407MaRDI QIDQ2271720
Publication date: 8 August 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-008-0070-z
affine term structure modelsjump-diffusionsexchange optionsbond optionscallsAmerican putscritical price near expiryEuropean options near expiryquadratic term structure models
Stochastic models in economics (91B70) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (6)
American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations ⋮ Small-time expansions for local jump-diffusion models with infinite jump activity ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ Exercise boundary of the American put near maturity in an exponential Lévy model ⋮ A self-exciting switching jump diffusion: properties, calibration and hitting time ⋮ Optimal stopping problems in Lévy models with random observations
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