Analytical Valuation of American Options on Jump‐Diffusion Processes

DOI10.1111/1467-9965.00109zbMath1049.91071OpenAlexW1984777886MaRDI QIDQ2707165

Chandrasekhar Reddy Gukhal

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00109

zbMATH Keywords

jump-diffusion modelearly exercise premium

Mathematics Subject Classification ID

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