Approximations of option prices for a jump-diffusion model

In Suk Wee

doi:10.4134/JKMS.2006.43.2.383

Approximations of option prices for a jump-diffusion model

In Suk Wee^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

We consider a geometric Lévy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Lévy process.

Original language	English
Pages (from-to)	383-398
Number of pages	16
Journal	Journal of the Korean Mathematical Society
Volume	43
Issue number	2
DOIs	https://doi.org/10.4134/JKMS.2006.43.2.383
Publication status	Published - 2006 Mar

Keywords

Black-scholes model
Jump-diffusion model
Lévy process
Option price

ASJC Scopus subject areas

General Mathematics

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10.4134/JKMS.2006.43.2.383

Cite this

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title = "Approximations of option prices for a jump-diffusion model",

abstract = "We consider a geometric L{\'e}vy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the L{\'e}vy process.",

keywords = "Black-scholes model, Jump-diffusion model, L{\'e}vy process, Option price",

author = "Wee, \{In Suk\}",

year = "2006",

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doi = "10.4134/JKMS.2006.43.2.383",

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AU - Wee, In Suk

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N2 - We consider a geometric Lévy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Lévy process.

AB - We consider a geometric Lévy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Lévy process.

KW - Black-scholes model

KW - Jump-diffusion model

KW - Lévy process

KW - Option price

UR - https://www.scopus.com/pages/publications/33644806706

U2 - 10.4134/JKMS.2006.43.2.383

DO - 10.4134/JKMS.2006.43.2.383

M3 - Article

AN - SCOPUS:33644806706

SN - 0304-9914

VL - 43

SP - 383

EP - 398

JO - Journal of the Korean Mathematical Society

JF - Journal of the Korean Mathematical Society

IS - 2

ER -

Approximations of option prices for a jump-diffusion model

Abstract

Keywords

ASJC Scopus subject areas

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