An approximation of American option prices in a jump-diffusion model
type: Item
instance of: scholarly article
title: An approximation of American option prices in a jump-diffusion model
zbMATH Open document ID: 0848.90005
DOI: 10.1016/0304-4149(95)00085-2
author: Sabrina Mulinacci
published in: Stochastic Processes and their Applications
publication date: 1996-08-05T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 894805
zbMATH Keywords: Snell envelope
zbMATH Keywords: American option
zbMATH Keywords: jump-diffusion market model
MaRDI profile type: Publication
full work available at URL: 0304-4149(95)00085-2
OpenAlex ID: W2073071741
cites work: Q4199298
cites work: Q3974816
cites work: Variational inequalities and the pricing of American options
cites work: Optimal portfolio for a small investor in a market model with discontinuous prices
cites work: Q4002884
cites work: Option Pricing For Jump Diffusions: Approximations and Their Interpretation
cites work: Q3996259
cites work: Q4848528
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description: scientific article; zbMATH DE number 894805