摘要
In this study, we use the McKean's integral equation to evaluate the American option price for the constant jump diffusion models. The early exercise boundary is approximated by a multipiece exponential function. Approximate closed-form solution of the no arbitrage American option prices are obtained . Simulation studies are performed to evaluate accuracy of the derived formula. The results show that the proposed method improves the pricing of American option for larger dividend rates.
| 原文 | ???core.languages.en_GB??? |
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| 主出版物標題 | Proc. - 14th IEEE Int. Conf. on Computational Science and Engineering, CSE 2011 and 11th Int. Symp.on Pervasive Systems, Algorithms, and Networks, I-SPAN 2011 and 10th IEEE Int. Conf. IUCC 2011 |
| 頁面 | 221-228 |
| 頁數 | 8 |
| DOIs | |
| 出版狀態 | 已出版 - 2011 |
| 事件 | 14th IEEE Int. Conf. on Computational Science and Engineering, CSE 2011, the 11th International Symposium on Pervasive Systems, Algorithms, and Networks, I-SPAN 2011, and the 10th IEEE Int. Conf. on Ubiquitous Computing and Communications, IUCC 2011 - Dalian, Liaoning, China 持續時間: 24 8月 2011 → 26 8月 2011 |
出版系列
| 名字 | Proc. - 14th IEEE Int. Conf. on Computational Science and Engineering, CSE 2011 and 11th Int. Symp. on Pervasive Systems, Algorithms, and Networks, I-SPA 2011 and 10th IEEE Int. Conf. on IUCC 2011 |
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| ???event.eventtypes.event.conference??? | 14th IEEE Int. Conf. on Computational Science and Engineering, CSE 2011, the 11th International Symposium on Pervasive Systems, Algorithms, and Networks, I-SPAN 2011, and the 10th IEEE Int. Conf. on Ubiquitous Computing and Communications, IUCC 2011 |
|---|---|
| 國家/地區 | China |
| 城市 | Dalian, Liaoning |
| 期間 | 24/08/11 → 26/08/11 |