Title of article
An approximation of American option prices in a jump-diffusion model
Author/Authors
Mulinacci، نويسنده , , Sabrina، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
17
From page
1
To page
17
Abstract
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 Lp and a.s. will be proved.
Keywords
American option pricing , Convergence , Jump-diffusion , Snell envelope
Journal title
Stochastic Processes and their Applications
Serial Year
1996
Journal title
Stochastic Processes and their Applications
Record number
1575865
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