The application of linear programming to American option valuation in the jump-diffusion model
Fryzlewicz, P.
(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) |
|---|---|
| Copyright holders | © 2000 The Author |
| Departments | LSE > Academic Departments > Statistics |
| Date Deposited | 20 Dec 2010 |
| URI | https://researchonline.lse.ac.uk/id/eprint/30998 |
ORCID: https://orcid.org/0000-0002-9676-902X