Analytical binomial lookback options with double-exponential jumps
Tài liệu tham khảo
Alvarez, 1996, Viscosity solution of nonlinear integro-differential equations, Annales de l’Institut Henri Poincaré Analyse Non Linéaire, 13, 293, 10.1016/S0294-1449(16)30106-8
Amin, 1993, Jump diffusion option valuation in discrete time, Journal of Finance, 48, 1833, 10.2307/2329069
Barles, 1994, Optimal control of the L norm of a diffusion process, SIAM Journal on Control and Optimization, 32, 612, 10.1137/S0363012991223595
Barles, 1991, Convergence of approximation schemes for fully nonlinear second order equations, Asymptotic Analysis, 1, 271, 10.3233/ASY-1991-4305
Barraquand, 1996, Pricing of American Path-dependent Contingent Claims, Mathematical Finance, 6, 17, 10.1111/j.1467-9965.1996.tb00111.x
Cheuck, 1997, Currency lookback options and observation frequency: A binomial approach, Journal of International Money and Finance, 16, 173, 10.1016/S0261-5606(96)00052-6
Cox, 1979, Option pricing: A simplified approach, Journal of Financial Econometrics, 7, 229, 10.1016/0304-405X(79)90015-1
Crandall, 1992, User’s guide to viscosity solutions of second order partial differential equations, Bulletin of American Mathematical Society, 27, 1, 10.1090/S0273-0979-1992-00266-5
Dai, 2000, A modified binomial tree method for currency lookback options, Acta Mathematica Sinica, 16, 445, 10.1007/s101140000068
Goldman, 1979, Path dependent options: Buy at the Low, Sell at the High, Journal of Finance, 34, 1111, 10.2307/2327238
Hull, 1993, Efficient procedures for valuing European and American path-dependent options, Journal of Derivatives, 1, 21, 10.3905/jod.1993.407869
Jiang, 2004, Convergence of binomial tree method for European/American path-dependent options, SIAM Journal on Numerical Analysis, 42, 1094, 10.1137/S0036142902414220
Kim, 2007, Convergence of the binomial tree method for Asian options in jump-diffusion models, Journal of Mathematical Analysis and Applications, 330, 10, 10.1016/j.jmaa.2006.07.042
Kou, 2002, A jump diffusion model for option pricing, Management Science, 48, 1086, 10.1287/mnsc.48.8.1086.166
Kou, 2004, Option pricing under a double exponential jump diffusion model, Management Science, 50, 1178, 10.1287/mnsc.1030.0163
Merton, 1976, Option pricing when underlying stock returns are discontinuous, Journal of Financial Econometrics, 3, 145
Mordecki, 1999, Optional stopping for a diffusion with jumps, Finance and Stochastics, 3, 227, 10.1007/s007800050060
Park, H. S., Kim, K. I., & Qian, X. (2009). A mathematical modeling for the Lookback option with jump diffusion using Binomial tree method. Journal of Computational and Applied Mathematics, preprint
Pham, 1997, Optimal stopping, free boundary and American option in a jump-diffusion model, Applied Mathematics and Optimization, 35, 145, 10.1007/s002459900042
Qian, 2005, Convergence of the binomial tree method for American options in a jump-diffusion model, SIAM Journal on Numerical Analysis, 42, 1899, 10.1137/S0036142902409744
Xu, 2003, Numerical Analysis on binomial tree methods for a jump-diffusion model, Journal of Computational and Applied Mathematics, 156, 23, 10.1016/S0377-0427(02)00903-2