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Content Provider | IEEE Xplore Digital Library |
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Author | Deng Guohe |
Copyright Year | 2013 |
Description | Author affiliation: Sch. of Math., Guangxi Normal Univ., Guilin, China (Deng Guohe) |
Abstract | This paper presents the integral equation for the price of an American continuous-installment put option in the case where the stock price follows a double exponential jump-diffusion model using the Fourier inversion transform approach. We use trapezoidal rule to discrete the integral term and extend the Newton-Raphson method to solve the non-linear equation system for the optimal stopping and exercise boundaries. Some numerical results are provided to analyze the option price and free boundaries changing with some different parameter values in this model. |
Starting Page | 8289 |
Ending Page | 8294 |
File Size | 199895 |
Page Count | 6 |
File Format | |
ISBN | 9789881563835 |
ISSN | 19341768 |
Language | English |
Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
Publisher Date | 2013-07-26 |
Publisher Place | China |
Access Restriction | Subscribed |
Rights Holder | TCCT, CAA |
Subject Keyword | Fourier transform method American continuous-installment option Integral equations Pricing Educational institutions Jump-diffusion model Numerical models Mathematical model Equations Contracts |
Content Type | Text |
Resource Type | Article |
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