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American and European options in multi-factor jump-diffusion models, near expiry

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  • Sergei Levendorskiǐ

Abstract

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Suggested Citation

  • Sergei Levendorskiǐ, 2008. "American and European options in multi-factor jump-diffusion models, near expiry," Finance and Stochastics, Springer, vol. 12(4), pages 541-560, October.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:4:p:541-560
    DOI: 10.1007/s00780-008-0070-z
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    References listed on IDEAS

    as
    1. Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
    2. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
    3. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
    2. Jos'e E. Figueroa-L'opez & Yankeng Luo & Cheng Ouyang, 2011. "Small-time expansions for local jump-diffusion models with infinite jump activity," Papers 1108.3386, arXiv.org, revised Jul 2014.

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    More about this item

    Keywords

    Critical price near expiry; American puts; Calls; Exchange options; Bond options; European options near expiry; Jump-diffusions; ATSM; QTSM; D81; C61; 60G44; 91B28; 91B70;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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