Approximations of option prices for a jump-diffusion model
- Authors
- Wee, IS
- Issue Date
- 3월-2006
- Publisher
- KOREAN MATHEMATICAL SOCIETY
- Keywords
- Black-Scholes model; jump-diffusion model; Levy process; option price
- Citation
- JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY, v.43, no.2, pp.383 - 398
- Indexed
- SCIE
SCOPUS
KCI
- Journal Title
- JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY
- Volume
- 43
- Number
- 2
- Start Page
- 383
- End Page
- 398
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/124303
- ISSN
- 0304-9914
- Abstract
- We consider a geometric Levy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Levy process.
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Collections - College of Science > Department of Mathematics > 1. Journal Articles
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