Formules quasi-explicites pour les options américaines dans un modèle de diffusion avec sauts

Xiaolan Zhang

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 38, issue 1, 151-161

Abstract: This paper proposes two quasi-explicit formulas to calculate the American option prices with finite and infinite maturity respectively, in Merton's jump-diffusion model (1976).

Date: 1995
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:38:y:1995:i:1:p:151-161

DOI: 10.1016/0378-4754(93)E0078-J

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