Bounds for perpetual American option prices in a jump diffusion model
نویسندگان
چکیده
منابع مشابه
Bounds for Perpetual American Option Prices in a Jump Diffusion Model
We provide bounds for perpetual American option prices in a jump diffusion model in terms ofAmerican option prices in the standardBlack–Scholesmodel. We also investigate the dependence of the bounds on different parameters of the model.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2006
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200002163