scientific article; zbMATH DE number 559089

zbMath0802.90011MaRDI QIDQ4289128

Xiao-Lan Zhang

Publication date: 1993

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

strong convergencepricingAmerican optionjump-diffusion modelfinite difference discretization schemes

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

An integro-differential parabolic variational inequality connected with the problem of the American option pricing ⋮ Discrete-time bond and option pricing for jump-diffusion processes ⋮ Methods for the rapid solution of the pricing PIDEs in exponential and Merton models ⋮ Domain decomposition method for a parabolic variational inequality ⋮ The critical price for the American put in an exponential Lévy model

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