Title of article
Formules quasi-explicites pour les options américaines dans un modèle de diffusion avec sauts Original Research Article
Author/Authors
Xiaolan Zhang، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1995
Pages
11
From page
151
To page
161
Abstract
This paper proposes two quasi-explicit formulas to calculate the American option prices with finite and infinite maturity respectively, in Mertonʹs jump-diffusion model (1976).
Journal title
Mathematics and Computers in Simulation
Serial Year
1995
Journal title
Mathematics and Computers in Simulation
Record number
852972
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