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초록
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.
키워드
Black-Scholes model; jump-diffusion model; Levy process; option price; LEVY PROCESSES
- 제목
- Approximations of option prices for a jump-diffusion model
- 저자
- Wee, IS
- 발행일
- 2006-03
- 유형
- Article
- 저널명
- 대한수학회지
- 권
- 43
- 호
- 2
- 페이지
- 383 ~ 398