Fryzlewicz, Piotr (2000) The application of linear programming to American option valuation in the jump-diffusion model. Other thesis, Wroclaw University of Technology.Full text not available from this repository.
In this paper we consider the problem of pricing American vanilla options in an incomplete market in which the stock price process is driven by a difusion with jumps of random magnitude. We use Schweizer's minimal equivalent martingale measure as the pricing measure.
|Item Type:||Thesis (Other)|
|Additional Information:||© 2000 The Author|
|Library of Congress subject classification:||H Social Sciences > HA Statistics|
|Sets:||Departments > Statistics|
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