An approximation of American option prices in a jump-diffusion model

Sabrina Mulinacci

Stochastic Processes and their Applications, 1996, vol. 62, issue 1, 1-17

Abstract: In this paper, an effectively computable approximation of the price of an American option in a jump-diffusion market model will be shown: results of convergence in Lp and a.s. will be proved.

Keywords: American; option; pricing; Convergence; Jump-diffusion; Snell; envelope (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (8)

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