Computing American option prices in the lognormal jump-diffusion framework with a Markov chain

被引：17
|
作者：
Simonato, Jean-Guy [1 ]
机构：
[1] HEC Montreal, Serv Enseignement Finance, Montreal, PQ H3T 2A7, Canada
来源：
FINANCE RESEARCH LETTERS | 2011年 / 8卷 / 04期
关键词：
American option; Jump-diffusion; Markov chain; VALUATION;
D O I：
10.1016/j.frl.2011.01.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This note examines a numerical approach for computing American option prices in the lognormal jump-diffusion context. The approach uses the known transition density of the process to build a discrete-time, homogenous Markov chain to approximate the target jump-diffusion process. Numerical results showing the performance of the proposed method are examined. (C) 2011 Elsevier Inc. All rights reserved.
引用
收藏
页码：220 / 226
页数：7
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