[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.4134/BKMS.2002.39.4.705

ERROR ESTIMATES FOR OPTION PRICES IN JUMP-DIFFUSION MODELS

Wee, In-Suk (Department of Mathematics, Korea University)

Publication Information

Bulletin of the Korean Mathematical Society / v.39, no.4, 2002 , pp. 705-714 More about this Journal

Abstract

We consider a jump-diffusion model generated by a Levy process for an asset price. We present an error estimate for the option prices between the jump-diffusion model and the Black-scholes model when the former converges weakly to the latter.

Keywords

jump-diffusion model; Black-Scholes model; option price;

Citations & Related Records

Reference

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