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
相关论文
共 50 条
  • [31] Pricing American Options by Willow Tree Method Under Jump-Diffusion Process
    Xu, Wei
    Yin, Yufang
    [J]. JOURNAL OF DERIVATIVES, 2014, 22 (01): : 46 - 56
  • [32] Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
    Cai, Ning
    Chen, Nan
    Wan, Xiangwei
    [J]. MATHEMATICS OF OPERATIONS RESEARCH, 2010, 35 (02) : 412 - 437
  • [33] Pricing vulnerable options with variable default boundary under jump-diffusion processes
    Zhou, Qing
    Wang, Qian
    Wu, Weixing
    [J]. ADVANCES IN DIFFERENCE EQUATIONS, 2018,
  • [34] Pricing Cliquet options in jump-diffusion models
    Yan, HF
    Yang, JQ
    Liu, LM
    [J]. STOCHASTIC MODELS, 2005, 21 (04) : 875 - 884
  • [35] Pricing and hedging foreign equity options under Hawkes jump-diffusion processes
    Ma, Yong
    Pan, Dongtao
    Shrestha, Keshab
    Xu, Weidong
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 537
  • [36] Valuation and Hedging Strategy of Currency Options under Regime-Switching Jump-Diffusion Model
    Chen, Shou-ting
    Diao, Xun-di
    Zhu, Ai-lin
    [J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2017, 33 (04): : 871 - 892
  • [37] The representation of American options prices under stochastic volatility and jump-diffusion dynamics
    Cheang, Gerald H. L.
    Chiarella, Carl
    Ziogas, Andrew
    [J]. QUANTITATIVE FINANCE, 2013, 13 (02) : 241 - 253
  • [38] Pricing vulnerable options with variable default boundary under jump-diffusion processes
    Qing Zhou
    Qian Wang
    Weixing Wu
    [J]. Advances in Difference Equations, 2018
  • [39] PRICING VULNERABLE OPTIONS WITH CORRELATED CREDIT RISK UNDER JUMP-DIFFUSION PROCESSES
    Tian, Lihui
    Wang, Guanying
    Wang, Xingchun
    Wang, Yongjin
    [J]. JOURNAL OF FUTURES MARKETS, 2014, 34 (10) : 957 - 979
  • [40] Doubly perturbed jump-diffusion processes
    Luo, Jiaowan
    [J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2009, 351 (01) : 147 - 151
12345