Matches in SemOpenAlex for { <https://semopenalex.org/work/W1961275924> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W1961275924 abstract "We analyze properties of prices of American options under Levy processes, and the related difficulties for design of accurate and efficient numerical methods for pricing of American options. The case of Levy processes with insignificant diffusion component and jump part of infinite activity but finite variation (the case most relevant to practice according to the empirical study in Carr et. al., Journ. of Business (2002)) appears to be the most difficult. Several numerical methods suggested for this case are discussed and compared. It is shown that approximations by diffusions with embedded jumps may be too inaccurate unless time to expiry is large, but two methods: the fitting by a diffusion with embedded exponentially distributed jumps and a new finite difference scheme suggested in the paper can be used as good complements, which ensure accurate and fast calculation of the option prices both close to expiry and far from it. We demonstrate that if the time to expiry is 2 months or more, and the relative error 1-2% is admissible then the fitting by a diffusion with embedded exponentially distributed jumps and the calculation of prices using the semi-explicit pricing procedure in Levendorskii, IJTAF (2004), is the best choice." @default.
- W1961275924 created "2016-06-24" @default.
- W1961275924 creator A5040524222 @default.
- W1961275924 creator A5069702443 @default.
- W1961275924 creator A5082397911 @default.
- W1961275924 date "2004-01-01" @default.
- W1961275924 modified "2023-09-23" @default.
- W1961275924 title "A Note on Relative Efficiency of Some Numerical Methods for Pricing of American Options Under Levy Processes" @default.
- W1961275924 cites W1499969990 @default.
- W1961275924 cites W1531532214 @default.
- W1961275924 cites W1875223438 @default.
- W1961275924 cites W1968759608 @default.
- W1961275924 cites W1994858552 @default.
- W1961275924 cites W2018952448 @default.
- W1961275924 cites W2090789457 @default.
- W1961275924 cites W2096796550 @default.
- W1961275924 cites W2100190417 @default.
- W1961275924 cites W2126799636 @default.
- W1961275924 cites W2133244168 @default.
- W1961275924 cites W2133387016 @default.
- W1961275924 cites W2134864040 @default.
- W1961275924 cites W2138540172 @default.
- W1961275924 cites W2148688139 @default.
- W1961275924 cites W2166468779 @default.
- W1961275924 cites W2171074980 @default.
- W1961275924 cites W2411910283 @default.
- W1961275924 cites W2602432589 @default.
- W1961275924 cites W2797641211 @default.
- W1961275924 cites W3122906991 @default.
- W1961275924 cites W3124062437 @default.
- W1961275924 cites W3124480685 @default.
- W1961275924 cites W3125951767 @default.
- W1961275924 cites W610594317 @default.
- W1961275924 cites W2029677326 @default.
- W1961275924 cites W2463126551 @default.
- W1961275924 doi "https://doi.org/10.2139/ssrn.610542" @default.
- W1961275924 hasPublicationYear "2004" @default.
- W1961275924 type Work @default.
- W1961275924 sameAs 1961275924 @default.
- W1961275924 citedByCount "2" @default.
- W1961275924 crossrefType "journal-article" @default.
- W1961275924 hasAuthorship W1961275924A5040524222 @default.
- W1961275924 hasAuthorship W1961275924A5069702443 @default.
- W1961275924 hasAuthorship W1961275924A5082397911 @default.
- W1961275924 hasConcept C106159729 @default.
- W1961275924 hasConcept C144237770 @default.
- W1961275924 hasConcept C149782125 @default.
- W1961275924 hasConcept C162118730 @default.
- W1961275924 hasConcept C162324750 @default.
- W1961275924 hasConcept C28826006 @default.
- W1961275924 hasConcept C33923547 @default.
- W1961275924 hasConcept C88757350 @default.
- W1961275924 hasConceptScore W1961275924C106159729 @default.
- W1961275924 hasConceptScore W1961275924C144237770 @default.
- W1961275924 hasConceptScore W1961275924C149782125 @default.
- W1961275924 hasConceptScore W1961275924C162118730 @default.
- W1961275924 hasConceptScore W1961275924C162324750 @default.
- W1961275924 hasConceptScore W1961275924C28826006 @default.
- W1961275924 hasConceptScore W1961275924C33923547 @default.
- W1961275924 hasConceptScore W1961275924C88757350 @default.
- W1961275924 hasLocation W19612759241 @default.
- W1961275924 hasOpenAccess W1961275924 @default.
- W1961275924 hasPrimaryLocation W19612759241 @default.
- W1961275924 hasRelatedWork W1522504334 @default.
- W1961275924 hasRelatedWork W1973538245 @default.
- W1961275924 hasRelatedWork W2023446719 @default.
- W1961275924 hasRelatedWork W2030617584 @default.
- W1961275924 hasRelatedWork W2056210026 @default.
- W1961275924 hasRelatedWork W2161519270 @default.
- W1961275924 hasRelatedWork W3124080152 @default.
- W1961275924 hasRelatedWork W3149328373 @default.
- W1961275924 hasRelatedWork W331667891 @default.
- W1961275924 hasRelatedWork W2142213187 @default.
- W1961275924 isParatext "false" @default.
- W1961275924 isRetracted "false" @default.
- W1961275924 magId "1961275924" @default.
- W1961275924 workType "article" @default.