Analytical valuation of American options on jump-diffusion processes

被引：38
|
作者：
Gukhal, CR [1 ]
机构：
[1] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA
来源：
MATHEMATICAL FINANCE | 2001年 / 11卷 / 01期
关键词：
D O I：
10.1111/1467-9965.00109
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We derive analytic formulas for the value of American options when the underlying asset follows a jump-diffusion process and pays continuous dividends. The early exercise premium has a form very different from that for diffusion processes, and this can be attributed to the discontinuous nature of the price paths. Analytical formulas are derived for several distributions of the jump amplitude.
引用
收藏
页码：97 / 115
页数：19
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