Approximations of option prices for a jump-diffusion model

被引:0
|
作者
Wee, IS [1 ]
机构
[1] Korea Univ, Dept Math, Seoul 136701, South Korea
关键词
Black-Scholes model; jump-diffusion model; Levy process; option price;
D O I
暂无
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
We consider a geometric Levy 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 Levy process.
引用
收藏
页码:383 / 398
页数:16
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