Quasi-explicit formulas for American options in a jump-diffusion model
type: Item
instance of: scholarly article
title: Quasi-explicit formulas for American options in a jump-diffusion model
zbMATH Open document ID: 0828.60040
DOI: 10.1016/0378-4754(93)E0078-J
author: Xiaolan Zhang
published in: Mathematics and Computers in Simulation
publication date: 1995-10-22T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 792987
zbMATH Keywords: American option prices
zbMATH Keywords: Merton's jump-diffusion model
MaRDI profile type: Publication
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cites work: Residual risks and hedging strategies in Markovian markets
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cites work: Variational inequalities and the pricing of American options
cites work: Q4905685
cites work: Option pricing when underlying stock returns are discontinuous
cites work: The pricing of the American option
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description: scientific article; zbMATH DE number 792987