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APPROXIMATIONS OF OPTION PRICES FOR A JUMP-DIFFUSION MODEL
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 Title & Authors
APPROXIMATIONS OF OPTION PRICES FOR A JUMP-DIFFUSION MODEL
Wee, In-Suk;
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 Abstract
We consider a geometric Levy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Levy process.
 Keywords
Black-Scholes model;jump-diffusion model;Levy process;option price;
 Language
English
 Cited by
 References
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