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The application of linear programming to American option valuation in the jump-diffusion model

By Piotr Fryzlewicz

Abstract

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

Topics: HA Statistics
Year: 2000
OAI identifier: oai:eprints.lse.ac.uk:30998
Provided by: LSE Research Online
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