Jump Diffusion Option Valuation in Discrete Time
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1993.tb05130.x/fullpdf
Reference28 articles.
1. Ahn , C. M. 1991 Option pricing when jump risk is systematic, Working paper, Michigan State University
2. Jump-diffusion processes and the term-structure of interest rates;Ahn;Journal of Finance,1988
3. On the computation of continuous time options prices using discrete approximations;Amin;Journal of Financial and Quantitative Analysis,1991
4. Amin , K. A. Khanna 1993 Convergence of American option values from discrete to continuous-time financial models, Mathematical Finance, Forthcoming
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