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Zbl 0883.90021
Zhang, Xiao Lan
Numerical analysis of American option pricing in a Jump-diffusion model. (English)
[J] Math. Oper. Res. 22, No.3, 668-690 (1997). ISSN 1526-5471; ISSN 0364-765X/e

Summary: We discuss pricing formulae for American options in Merton's jump-diffusion model. With the help of variational inequalities, we derive some regularity properties of price functions. Using the finite difference method, a discretization scheme is presented and a convergence theorem for the first-order derivatives is proved. Numerical methods and results are also discussed.
MSC 2000:
*91B28 Finance etc.
60J75 Jump processes

Keywords: pricing formulae; American options; jump-diffusion model; variational inequalities

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