Bounds for the range of American contingent claim prices in the jump-diffusion model

DOI10.4064/AM32-1-8zbMath1071.60047OpenAlexW2002648484MaRDI QIDQ4677398

Jacek Wybraniec, Aleksander Janicki

Publication date: 20 May 2005

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am32-1-8

zbMATH Keywords

American option valuationequivalent martingale measuresoptimal stopping time problemjump-diffusion market model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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