An Analysis of Asymptotic Properties and Error Control under the Exponential Jump-Diffusion Model for American Option Pricing
Our work is aimed at modeling the American option price by combining the dynamic programming and the optimal stopping time under two asset price models. In doing so, we attempt to control the theoretical error and illustrate the asymptotic characteristics of each model; thus, using a numerical illus...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2021/1049907 |
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