Cookies?
Library Header Image
LSE Research Online LSE Library Services

The application of linear programming to American option valuation in the jump-diffusion model

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.

Abstract

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
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 20 Dec 2010 16:37
URL: http://eprints.lse.ac.uk/30998/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only