scholarly journals Multiscale analysis of a perpetual American option with the stochastic elasticity of variance

2013 ◽  
Vol 26 (7) ◽  
pp. 670-675 ◽  
Author(s):  
Ji-Hun Yoon ◽  
Jeong-Hoon Kim ◽  
Sun-Yong Choi
Keyword(s):  
Multiscale Analysis ◽  
American Option ◽  
Perpetual American Option

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.

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

2006 ◽  
Vol 43 (3) ◽  
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.

Sign in / Sign up

Export Citation Format

Share Document