Alternative numerical approaches to thejump-diffusion option valuation

다국어 초록 (Multilingual Abstract)

The purpose of this paper is to propose several approximating methods to obtain the American option prices under jump-diffusion processes. The first method is to extend an approximating method to the optimal exercise boundary by a multipiece exponential function suggested by Ju [17]. The second approach is to modify the analytical methods of MacMillan [20] and Zhang [25] in a discrete time space. The third approach is to apply the simulation technique of Ib´a˜nez and Zapareto [14] to the problem of American option pricing when the jumps are allowed.
Finally, we compare the numerical performance of each suggesting method with those of the previous numerical approaches.

참고문헌 (Reference)

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