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ERROR ESTIMATES FOR OPTION PRICES IN JUMP-DIFFUSION MODELS

  • Published : 2002.11.01

Abstract

We consider a jump-diffusion model generated by a Levy process for an asset price. We present an error estimate for the option prices between the jump-diffusion model and the Black-scholes model when the former converges weakly to the latter.

Keywords

jump-diffusion model;Black-Scholes model;option price

References

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  5. Ann. Appl. Probab. v.9 Pricing contingent claims on stocks driven by Levy processes T. Chan https://doi.org/10.1214/aoap/1029962753