A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes

DOI10.1016/j.spa.2015.03.003zbMath1334.60064arXiv1304.4534OpenAlexW1992917352MaRDI QIDQ2347464

Florian Kleinert, Kees van Schaik

Publication date: 27 May 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.4534

zbMATH Keywords

Lévy processesoptimal stoppingAmerican options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Predicting the time at which a Lévy process attains its ultimate supremum ⋮ Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

Uses Software

• DLMF

Cites Work

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