Pricing American Options for Jump Diffusions by Iterating Optimal Stopping Problems for Diffusions

Simple item page
dc.creatorBayraktar, Erhan
dc.creatorXing, Hao
dc.date2007-06-15
dc.date2008-12-03
dc.date.accessioned2026-07-07T12:08:26Z
dc.date.available2026-07-07T12:08:26Z
dc.descriptionWe approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating sequence solves an optimal stopping problem for geometric Brownian motion, and can be numerically computed using the classical finite difference methods. We prove the convergence of this numerical scheme and present examples to illustrate its performance.
dc.descriptionKey Words: Pricing derivatives, American options, jump diffusions, barrier options, finite difference methods
dc.identifierhttps://arxiv.org/abs/0706.2331
dc.identifierhttp://arxiv.org/abs/0706.2331
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209318
dc.subjectComputational Engineering, Finance, and Science
dc.titlePricing American Options for Jump Diffusions by Iterating Optimal Stopping Problems for Diffusions
dc.typetext

Files

Collections

arXiv