perpetual american option
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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.

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