A canonical optimal stopping problem for American options under a double exponential jump-diffusion model

2007 ◽  
Vol 10 (1) ◽  
pp. 85-100 ◽  
Author(s):  
Farid AitSahlia ◽  
Andreas Runnemo
Keyword(s):  
Diffusion Model ◽  
Optimal Stopping ◽  
American Options ◽  
Jump Diffusion ◽  
Optimal Stopping Problem ◽  
Double Exponential ◽  
Jump Diffusion Model

Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model

2005 ◽  
Vol 42 (5) ◽  
pp. 1899-1913 ◽  
Author(s):  
Xiao-song Qian ◽  
Cheng-long Xu ◽  
Li-shang Jiang ◽  
Bao-jun Bian
Keyword(s):  
Diffusion Model ◽  
American Options ◽  
Jump Diffusion ◽  
Binomial Tree ◽  
Jump Diffusion Model ◽  
Tree Method

PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES

2006 ◽  
Vol 09 (06) ◽  
pp. 915-949 ◽  
Author(s):  
OLEG KUDRYAVTSEV ◽  
SERGEI LEVENDORSKIǏ
Keyword(s):  
Diffusion Model ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Spot Price ◽  
Inverse Gaussian ◽  
Jump Diffusion Processes ◽  
Double Exponential ◽  
Motion Approximation ◽  
Jump Diffusion Model ◽  
Normal Inverse Gaussian

We calculate prices of first touch digitals under normal inverse Gaussian (NIG) processes, and compare them to prices in the Brownian model and double exponential jump-diffusion model. Numerical results are produced to show that for typical parameters values, the relative error of the Brownian motion approximation to NIG price can be 2–3 dozen percent if the spot price is at the distance 0.05–0.2 from the barrier (normalized to one). A similar effect is observed for approximations by the double exponential jump-diffusion model, if the jump component of the approximation is significant. We show that two jump-diffusion processes can give approximately the same results for European options but essentially different results for first touch digitals and barrier options. A fast approximate pricing formula under NIG is derived.

The double exponential jump diffusion model for pricing European options under fuzzy environments

2012 ◽  
Vol 29 (3) ◽  
pp. 780-786 ◽  
Author(s):  
Li-Hua Zhang ◽  
Wei-Guo Zhang ◽  
Wei-Jun Xu ◽  
Wei-Lin Xiao
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
European Options ◽  
Double Exponential ◽  
Jump Diffusion Model
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