journal article
oaidoi:10.1016/0304-4149(95)00085-2

An approximation of American option prices in a jump-diffusion model

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Publication date
31 March 1996
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Published by Elsevier B.V.
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    Abstract

    AbstractIn this paper, an effectively computable approximation of the price of an American option in a jump-diffusion market model will be shown: results of convergence in Lp and a.s. will be proved

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