Pricing Options in Jump-Diffusion Models : An Extrapolation Approach
- Author
- LIMING FENG1 ; LINETSKY, Vadim2
[1] Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, Urbana, Illinois 61801, United States
[2] Department of Industrial Engineering and Management Sciences, McCormick School of Engineering and Applied Sciences, Northwestern University, Evanston, Illinois 60208, United States - Source
Operations research. 2008, Vol 56, Num 2, pp 304-325, 22 p ; ref : 1 p
- CODEN
- OPREAI
- ISSN
- 0030-364X
- Scientific domain
- Control theory, operational research
- Publisher
- Institute for Operations Research and the Management Sciences, Linthicum, MD
- Publication country
- United States
- Document type
- Article
- Language
- English
- Author keyword
- Bermudan options; probability Markov processes: jump-diffusion processes asset pricing: option pricing barrier options finance
- Keyword (fr)
- Analyse valeur Approche probabiliste Bourse valeurs Discrétisation Equation intégrodifférentielle Extrapolation Finance Fixation prix Marché financier Modélisation Mouvement brownien Option financière Prise de décision Processus Markov Processus diffusion Processus saut Schéma Euler Tarification Volatilité
- Keyword (en)
- Value analysis Probabilistic approach Stock exchange Discretization Integrodifferential equation Extrapolation Finance Pricing Financial market Modeling Brownian motion Financial option Decision making Markov process Diffusion process Jump process Euler scheme Tariffication Volatility
- Keyword (es)
- Análisis valor Enfoque probabilista Bolsa valores Discretización Ecuación integrodiferencial Extrapolación Finanzas Fijación precios Mercado financiero Modelización Movimiento browniano Opción financiera Toma decision Proceso Markov Proceso difusión Proceso salto Esquema Euler Tarificación Volatibilidad
- Classification
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A08 Decision theory. Utility theory
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A10 Portfolio theory
- Discipline
- Operational research. Management
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20296601
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1287/opre.1070.0419 
https://dx.doi.org/10.1287/opre.1070.0419
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