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

• 成果类型: Article
• 署名作者: Zhang, XL
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.22.3.668
• 发表日期: 1997
• 页码: 668-690
• 关键词: market; valuation; portfolio; returns

摘要

We discuss pricing formulae for American options in Merton's jump-diffusion model. With the help of variational inequalities, we derive some regularity properties of price functions. Using the finite difference method, a discretization scheme is presented and a convergence theorem for the first order derivatives is proved. Numerical methods and results are also discussed.