The Critical Price of the American Put Near Maturity in the Jump Diffusion Model

نویسندگان

  • Aych I. Bouselmi
  • Damien Lamberton
چکیده

We study the behavior of the critical price of an American put option near maturity in the jump diffusion model when the underlying stock pays dividends at a continuous rate and the limit of the critical price is smaller than the stock price. In particular, we prove that, unlike the case where the limit is equal to the strike price, jumps can influence the convergence rate.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Pricing of Commodity Futures Contract by Using of Spot Price Jump-Diffusion Process

Futures contract is one of the most important derivatives that is used in financial markets in all over the world to buy or sell an asset or commodity in the future. Pricing of this tool depends on expected price of asset or commodity at the maturity date. According to this, theoretical futures pricing models try to find this expected price in order to use in the futures contract. So in this ar...

متن کامل

Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model

This paper considers the American put option valuation in a jumpdiffusion model and relates this optimal-stopping problem to a parabolic integrodifferential free-boundary problem, with special attention to the behavior of the optimal-stopping boundary. We study the regularity of the American option value and obtain in particular a decomposition of the American put option price as the sum of its...

متن کامل

Closed formulas for the price and sensitivities of European options under a double exponential jump diffusion model

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...

متن کامل

Pricing of Futures Contracts by Considering Stochastic Exponential Jump Domain of Spot Price

Derivatives are alternative financial instruments which extend traders opportunities to achieve some financial goals. They are risk management instruments that are related to a data in the future, and also they react to uncertain prices. Study on pricing futures can provide useful tools to understand the stochastic behavior of prices to manage the risk of price volatility. Thus, this study eval...

متن کامل

Option Pricing in the Presence of Operational Risk

In this paper we distinguish between operational risks depending on whether the operational risk naturally arises in the context of model risk. As the pricing model exposes itself to operational errors whenever it updates and improves its investment model and other related parameters. In this case, it is no longer optimal to implement the best model. Generally, an option is exercised in a jump-...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:
  • SIAM J. Financial Math.

دوره 7  شماره 

صفحات  -

تاریخ انتشار 2016