The application of linear programming to American option valuation in the jump-diffusion model
Fryzlewicz, Piotr
(2000)
The application of linear programming to American option valuation in the jump-diffusion model
Doctoral thesis, University of Wrocław.
In this paper we consider the problem of pricing American vanilla options in an incomplete market in which the stock price process is driven by a difusion with jumps of random magnitude. We use Schweizer's minimal equivalent martingale measure as the pricing measure.
| Item Type | Thesis (Doctoral) |
|---|---|
| Departments | Statistics |
| Date Deposited | 20 Dec 2010 16:37 |
| URI | https://researchonline.lse.ac.uk/id/eprint/30998 |
ORCID: https://orcid.org/0000-0002-9676-902X