An approximation of American option prices in a jump-diffusion model

被引：24

作者：

Mulinacci, S

机构：

[1] Dipartimento di Matematica, Università di Pisa, 56100 Pisa

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1996年 / 62卷 / 01期

关键词：

American option pricing; convergence; jump-diffusion; Snell envelope;

D O I：

10.1016/0304-4149(95)00085-2

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 L(p) and a.s. will be proved.

引用

页码：1 / 17

页数：17

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