Formules quasi-explicites pour les options américaines dans un modèle de diffusion avec sauts

This paper proposes two quasi-explicit formulas to calculate the American option prices with finite and infinite maturity respectively, in Merton's jump-diffusion model (1976).

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Year of publication:	1995
Authors:	Zhang, Xiaolan
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 38.1995, 1, p. 151-161
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010749091