Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
نویسندگان
چکیده
منابع مشابه
Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
Numerical methods are developed for pricing European and American options under Kou’s jump-diffusion model which assumes the price of the underlying asset to behave like a geometrical Brownian motion with a drift and jumps whose size is log-double-exponentially distributed. The price of a European option is given by a partial integro-differential equation (PIDE) while American options lead to a...
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We derive closed formulas for the prices of European options andtheir sensitivities when the underlying asset follows a double-exponentialjump diffusion model, as considered by S. Kou in 2002. This author hasderived the option price by making use of double series where each termrequires the computation of a sequence of special functions, such thatthe implementation remains difficult for a large...
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Numerical methods are developed for pricing European and American options under Kou’s jump-diffusion model which assumes the price of the underlying asset to behave like a geometrical Brownian motion with a drift and jumps whose size is log-double-exponentially distributed. The price of a European option is given by a partial integro-differential equation (PIDE) while American options lead to a...
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American put options written on an underlying stock following a Carr-Madan-Geman-Yor (CGMY) process are considered. It is known that American option prices satisfy a Partial Integro-Differential Equation (PIDE) on a moving domain. These equations are reformulated as a Linear Complementarity Problem, and solved iteratively by an implicit-explicit type of iteration based on a convenient splitting...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2008
ISSN: 1064-8275,1095-7197
DOI: 10.1137/060674697