Optimal stopping, free boundary, and American option in a jump-diffusion model

1997 ◽  
Vol 35 (2) ◽  
pp. 145-164 ◽  
Author(s):  
Huyên Pham
Keyword(s):  
Free Boundary ◽  
Diffusion Model ◽  
Optimal Stopping ◽  
Jump Diffusion ◽  
American Option ◽  
Jump Diffusion Model

scholarly journals Bounds for perpetual American option prices in a jump diffusion model

2006 ◽  
Vol 43 (03) ◽  
pp. 867-873 ◽  
Author(s):  
Erik Ekström
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
American Option ◽  
Option Prices ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Jump Diffusion Model ◽  
Perpetual American Option

We provide bounds for perpetual American option prices in a jump diffusion model in terms of American option prices in the standard Black–Scholes model. We also investigate the dependence of the bounds on different parameters of the model.

Free boundary and American options in a jump-diffusion model

2005 ◽  
Vol 17 (01) ◽  
pp. 95 ◽  
Author(s):  
YANG CHENGRONG ◽  
JIANG LISHANG ◽  
BIAN BAOJUN
Keyword(s):  
Free Boundary ◽  
Diffusion Model ◽  
American Options ◽  
Jump Diffusion ◽  
Jump Diffusion Model
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