Fryzlewicz, Piotr 
ORCID: 0000-0002-9676-902X
(2000)
The application of linear programming to American option valuation in the jump-diffusion model.
Doctoral thesis, University of Wrocław.
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 (Doctoral) |
|---|---|
| Additional Information: | © 2000 The Author |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 20 Dec 2010 16:37 |
| Last Modified: | 11 Mar 2024 16:39 |
| URI: | http://eprints.lse.ac.uk/id/eprint/30998 |
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