The Compound Option Approach to American Options on Jump-Diffusions

We derive analytical valuation formulas for compound options when the underlying asset follows a jump-diffusion process. We then apply these results to value extendible options, American call options on stocks that follow jump-diffusion processes and pay discrete dividends, and American options on assets that evolve as jump-diffusion processes and pay continuous proportional dividends. Numerical implementation is in progress.

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Year of publication:	2001-04-01
Authors:	Gukhal, Chandrasekhar Reddy
Institutions:	Society for Computational Economics - SCE
Subject:	Compound options \| american options \| jump-diffusions

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Series:	Computing in Economics and Finance 2001.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2001 Number 181
Classification:	G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005706758