The compound option approach to American options on jump-diffusions
type: Item
instance of: scholarly article
title: The compound option approach to American options on jump-diffusions
zbMATH Open document ID: 1201.91195
author: C. R. Chandrasekhar Reddy Gukhal
publication date: 2008-11-06T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 5362832
zbMATH Keywords: compound options
zbMATH Keywords: American options
zbMATH Keywords: extendible options
zbMATH Keywords: discrete dividends
zbMATH Keywords: jump-diffusions
MaRDI profile type: Publication
full work available at URL: j.jedc.2003.06.002
OpenAlex ID: W2042758485
cites work: The pricing of options and corporate liabilities
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Q4905685
cites work: Option pricing when underlying stock returns are discontinuous
DOI: 10.1016/J.JEDC.2003.06.002
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5362832