Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
نویسندگان
چکیده
منابع مشابه
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating sequence solves an optimal stopping problem for geometric Brownian motion, and can be numerically computed using the classical finite difference methods. We p...
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ژورنال
عنوان ژورنال: Mathematical Methods of Operations Research
سال: 2009
ISSN: 1432-2994,1432-5217
DOI: 10.1007/s00186-008-0282-1