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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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