American and European options in multi-factor jump-diffusion models, near expiry

Sergei Levendorskiǐ ()

Finance and Stochastics, 2008, vol. 12, issue 4, 560 pages

Keywords: Critical price near expiry; American puts; Calls; Exchange options; Bond options; European options near expiry; Jump-diffusions; ATSM; QTSM; D81; C61; 60G44; 91B28; 91B70 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s00780-008-0070-z

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