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
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
Journal title :
Stochastic Processes and their Applications
