American-style options in jump-diffusion models: estimation and evaluation-Reference-Cited by-同舟云学术

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American-style options in jump-diffusion models: estimation and evaluation

Published:2016-03-31 Issue:8 Volume:16 Page:1313-1324
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Ben-Ameur Hatem,Chérif Rim,Rémillard Bruno

Funder

Fonds pour la Formation de Chercheurs et l'Aide à la Recherche

Natural Sciences and Engineering Research Council of Canada

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1142670

Reference39 articles.

1. Disentangling diffusion from jumps

2. Numerical valuation of options with jumps in the underlying

3. Jump Diffusion Option Valuation in Discrete Time

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Valuing Corporate Securities When the Firm’s Assets are Illiquid;Computational Economics;2022-12-20

2. Dynamic programming for valuing American options under a variance‐gamma process;Journal of Futures Markets;2020-07-03

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