Pricing American options when asset prices jump
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Publication:969504
DOI10.1016/J.ORL.2009.11.001zbMath1203.91288OpenAlexW2157644002MaRDI QIDQ969504
Arunachalam Chockalingam, Kumar Muthuraman
Publication date: 7 May 2010
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2009.11.001
Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Integro-partial differential equations (35R09)
Related Items (8)
A simple numerical method for pricing an American put option ⋮ American-style options in jump-diffusion models: estimation and evaluation ⋮ Valuing American options under the CEV model by Laplace-Carson transforms ⋮ Optimal exercise boundary via intermediate function with jump risk ⋮ Direct computation for American put option and free boundary using finite difference method ⋮ A new methodology to estimate constant elasticity of variance ⋮ Valuing switching options with the moving-boundary method ⋮ Pricing and exercising American options: an asymptotic expansion approach
Cites Work
- A Jump-Diffusion Model for Option Pricing
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- The pricing of the American option
- A penalty method for American options with jump diffusion processes
- An approximation of American option prices in a jump-diffusion model
- A moving boundary approach to American option pricing
- Analytical Valuation of American Options on Jump‐Diffusion Processes
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- Robust numerical methods for contingent claims under jump diffusion processes
- Option pricing when underlying stock returns are discontinuous
- Optimal stopping, free boundary, and American option in a jump-diffusion model
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