대한수학회지 (Journal of the Korean Mathematical Society)

  • 제43권2호
  • /
  • Pages.383-398
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  • 2006
  • /
  • 0304-9914(pISSN)
  • /
  • 2234-3008(eISSN)
대한수학회 (Korean Mathematical Society)
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APPROXIMATIONS OF OPTION PRICES FOR A JUMP-DIFFUSION MODEL

  • Wee, In-Suk (Department of Mathematics Korea University)
  • 발행 : 2006.03.01
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초록

We consider a geometric Levy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Levy process.

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참고문헌

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