@MISC{Ekström06ina, author = {Erik Ekström and Erik Ekstr Öm}, title = {IN A JUMP DIFFUSION MODEL}, year = {2006} }
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Abstract
Abstract. We provide bounds for perpetual American option prices in a jump-diffusion model in terms of American option prices in the standard Black-Scholes model. We also investigate the dependence of the bounds on different parameters of the model. 1.