Pricing Jump Diffusion American Call Option with Dividends
Empirical evidence shows the presence of a jump component in addition to the diffusion component in the evolution of asset prices.In this article,jumpdiffusion model described the underlying stock price dynamics.An approach of extrapolation acceleration was developed to yield a simple and efficient computation procedure for practical pricing of American call option on a stock with continuous dividends Numerical results were presented to demonstrate the validity and accuracy of the pricing approach compared with the quadratic approximation method,binomial method and compound option method.This study will be used to simplify the valuation of other complex contracts such as American currency options,options on futures,coupon bonds,or warrants on dividend paying stocks.
American call option individends jump-diffusion extrapolation acceleration
Bin Peng Fei Peng
School of Businee,Renmin University 100872,Beijing,P.R.China Electrical &Computer Engineering UBC,Vancouver,B.C.V6T 1Z4 Canada
国际会议
重庆
英文
827-831
2010-09-17（万方平台首次上网日期，不代表论文的发表时间）