✦ LIBER ✦

Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions

✍ Scribed by Erhan Bayraktar; Hao Xing

Publisher: Springer
Year: 2009
Tongue: English
Weight: 362 KB
Volume: 70
Category: Article
ISSN: 0340-9422
DOI: 10.1007/s00186-008-0282-1

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Optimal Stopping, Free Boundary, and Ame

Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model

✍ Huyên Pham 📂 Article 📅 1997 🏛 Springer 🌐 English ⚖ 215 KB

Optimal stopping for a diffusion with ju

Optimal stopping for a diffusion with jumps

✍ Ernesto Mordecki 📂 Article 📅 1999 🏛 Springer-Verlag 🌐 English ⚖ 69 KB

Free boundary and optimal stopping probl

Free boundary and optimal stopping problems for American Asian options

✍ Andrea Pascucci 📂 Article 📅 2007 🏛 Springer-Verlag 🌐 English ⚖ 456 KB

A penalty method for American options wi

A penalty method for American options with jump diffusion processes

✍ Y. d’Halluin; P.A. Forsyth; G. Labahn 📂 Article 📅 2004 🏛 Springer-Verlag 🌐 English ⚖ 317 KB

A General Optimality Conditions for Stoc

A General Optimality Conditions for Stochastic Control Problems of Jump Diffusions

✍ Seid Bahlali; Adel Chala 📂 Article 📅 2011 🏛 Springer 🌐 English ⚖ 534 KB

Fourth-order compact scheme with local m

Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model

✍ Spike T. Lee; Hai-Wei Sun 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 161 KB

## 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