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- W2187993486 abstract "The purpose of this paper is to propose several approximat- ing methods to obtain the American option prices under jump-diusion 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 ap- proach is to apply the simulation technique of Ibanez 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." @default.
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- W2187993486 date "2005-01-01" @default.
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- W2187993486 title "Alternative numerical approaches to thejump-diffusion option valuation" @default.
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