scholarly journals A power penalty approach to american option pricing with jump diffusion processes

2008 ◽  
Vol 4 (4) ◽  
pp. 783-799 ◽  
Author(s):  
Kai Zhang ◽  
◽  
Xiaoqi Yang ◽  
Kok Lay Teo ◽  
◽  
...  
Keyword(s):  
Option Pricing ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
American Option ◽  
American Option Pricing ◽  
Power Penalty ◽  
Penalty Approach ◽  
Jump Diffusion Processes

scholarly journals EVOLUTION OF AMERICAN OPTION VALUE FUNCTION ON A DIVIDEND PAYING STOCK UNDER JUMP-DIFFUSION PROCESSES

2017 ◽  
Vol 2 (3) ◽  
pp. 212-221
Author(s):  
Рехман ◽  
Nazir Rekhman ◽  
Хуссейн ◽  
Zakir Khusseyn ◽  
Али ◽  
...  
Keyword(s):  
Variational Inequalities ◽  
Value Function ◽  
Diffusion Processes ◽  
Equivalent Form ◽  
Jump Diffusion ◽  
American Option ◽  
Option Value ◽  
Jump Diffusion Processes ◽  
Hedging Strategies ◽  
The Value Function

This work is devoted to the analysis and evolution of the value function of American type options on a dividend paying stock under jump diffusion processes. An equivalent form of the value function is obtained and analyzed. Moreover, variational inequalities satisfied by this function are investigated. These results can be used to investigate the optimal hedging strategies and optimal exercise boundaries of the corresponding options.

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