Numerical analysis of American option pricing in a jump-diffusion model

Mathematics of Operations Research

Volumn 22, Issue 3, 1997, Pages 668-690

  Zhang, Xiao Lan ^a  

^a SOCIÉTÉ GÉNÉRALE   (France)

Author keywords

American option pricing; Convergence; Finite difference method; Jump diffusion model; Variational inequality with an integro differential operator

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; FINITE DIFFERENCE METHOD; MATHEMATICAL MODELS; THEOREM PROVING; VARIATIONAL TECHNIQUES;

AMERICAN OPTION PRICING; DISCRETIZATION SCHEME; MERTON'S JUMP DIFFUSION MODEL; PRICE FUNCTIONS; VARIATIONAL INEQUALITIES;

FINANCE;

EID: 0031212664     PISSN: 0364765X     EISSN: None     Source Type: Journal    
DOI: 10.1287/moor.22.3.668     Document Type: Article

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