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• W2109969373 abstract "In this article the problem of the American option valuation in a Lévy process setting is analysed. The perpetual case is first considered. Without possible discontinuities (i.e. with negative jumps in the call case), known results concerning the currency option value as well as the exercise boundary are obtained with a martingale approach. With possible discontinuities of the underlying process at the exercise boundary (i.e. with positive jumps in the call case), original results are derived by relying on first passage time and overshoot associated with a Lévy process. For finite life American currency calls, the formula derived by Bates or Zhang, in the context of a negative jump size, is tested. It is basically an extension of the one developed by Mac Millan and extended by Barone‐Adesi and Whaley. It is shown that Bates' model generates pretty good results only when the process is continuous at the exercise boundary." @default.
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• W2109969373 date "2004-09-01" @default.
• W2109969373 modified "2023-09-27" @default.
• W2109969373 title "Pricing American currency options in an exponential Lévy model" @default.
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• W2109969373 doi "https://doi.org/10.1080/1350486042000249336" @default.
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