American-style options in jump-diffusion models: estimation and evaluation

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

zbMATH Keywords

finite elementsdynamic programmingAmerican optionsmaximum likelihoodcalibrationjump-diffusion process

Mathematics Subject Classification ID

Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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