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Approximations of option prices for a jump-diffusion model
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Abstract
We consider a geometric L\'{e}vy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the L\'{e}vy process.
참고문헌 (6)
- "it Approximations of small jumps of L\' e}vy processes with aview towards simulation", pp.482~ (2001)
- "it Pricing contingent claims on stocks driven by L", pp.504~ (1999)
- "\it Hedging of contingent claims under incomplete information}", pp.389~ (1989)
- "\it Green Functions for SecondOrder Parabolic Integro-differential Problems}" (1992)
- "it Martingales versus PDEs in finance: An equivalence result with examples", pp.947~ (2000)
- "it Convergence of jump-diffusion modelsto the Black-Scholes model", pp.141~ (2003)
관련 논문AI추천
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