An approximation of American option prices in a jump-diffusion model
In this paper, an effectively computable approximation of the price of an American option in a jump-diffusion market model will be shown: results of convergence in Lp and a.s. will be proved.
Year of publication: |
1996
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Authors: | Mulinacci, Sabrina |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 62.1996, 1, p. 1-17
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Publisher: |
Elsevier |
Keywords: | American option pricing Convergence Jump-diffusion Snell envelope |
Saved in:
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