Error estimates for multinomial approximations of American options in a class of jump diffusion models

ISSN： 1744-2508

Source： Stochastics: An International Journal of Probability and Stochastic Processes, Vol.83, Iss.4-6, 2011-08, pp. : 415-429

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Perpetual barrier options in jump-diffusion models

By Gapeev Pavel

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 79, Iss. 1-2, 2007-02 ,pp. : 139-154

Taylor & Francis Ltd

Access to resources Recommend Favorite

A posteriori error estimates for approximations of evolutionary convection–diffusion problems

By Repin S. Tomar S.

Journal of Mathematical Sciences, Vol. 170, Iss. 4, 2010-10 ,pp. : 554-566

Springer Publishing Company

Access to resources Recommend Favorite

Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models

Applied Mathematical Finance, Vol. 20, Iss. 5, 2013-11 ,pp. : 489-511

Routledge Ltd

Access to resources Recommend Favorite

American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach

By Chiarella Carl Ziogas Andrew

Applied Mathematical Finance, Vol. 16, Iss. 1, 2009-01 ,pp. : 37-79

Routledge Ltd

Access to resources Recommend Favorite

Exchange Options Under Jump-Diffusion Dynamics

By Cheang Gerald Chiarella Carl

Applied Mathematical Finance, Vol. 18, Iss. 3, 2011-07 ,pp. : 245-276

Routledge Ltd

Access to resources Recommend Favorite