American-style options in jump-diffusion models: estimation and evaluation
From MaRDI portal
Publication:4554221
DOI10.1080/14697688.2016.1142670zbMath1400.91578OpenAlexW2333378577MaRDI QIDQ4554221
Rim Chérif, Hatem Ben-Ameur, Bruno Rémillard
Publication date: 13 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1142670
finite elementsdynamic programmingAmerican optionsmaximum likelihoodcalibrationjump-diffusion process
Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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