## Abstract A way to estimate the value of an American exchange option when the underlying assets follow jump‐diffusion processes is presented. The estimate is based on combining a European exchange option and a Bermudan exchange option with two exercise dates by using Richardson extrapolation as p
✦ LIBER ✦
An approximation of American option prices in a jump-diffusion model
✍ Scribed by Sabrina Mulinacci
- Book ID
- 107950489
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 617 KB
- Volume
- 62
- Category
- Article
- ISSN
- 0304-4149
No coin nor oath required. For personal study only.
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## Abstract The value of a contingent claim under a jump‐diffusion process satisfies a partial integro‐differential equation. A fourth‐order compact finite difference scheme is applied to discretize the spatial variable of this equation. It is discretized in time by an implicit‐explicit method. Mea