Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Mathematics,Software
Link
http://link.springer.com/content/pdf/10.1007/s00186-008-0282-1.pdf
Reference23 articles.
1. Aitsahlia F, Runnemo A (2007) A canonical optimal stopping problem for American options under a double-exponential jump-diffusion model. J Risk 10: 85–100
2. Almendral A, Oosterlee C (2007) On American options under the variance gamma process. Appl Math Finance 14(2): 131–152
3. Amin KI (1993) Jump diffusion option valuation in discrete time. J Finance 48: 1833–1863
4. Andersen L, Andreasen J (2000) Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing. Rev Derivatives Res 4(3): 231–262
5. Barone-Adesi G, Whaley RE (1987) Efficient analytic approximation of American option values. J Finance 42: 301–320
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