Approximations of option prices for a jump-diffusion model

  • Wee, IS
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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 modeljump-diffusion modelLevy processoption priceLEVY PROCESSES
제목
Approximations of option prices for a jump-diffusion model
저자
Wee, IS
발행일
2006-03
유형
Article
저널명
대한수학회지
43
2
페이지
383 ~ 398